The first thing to know is what overall shape and width will work for you. Virtually all saddles fall into general categories based on shape: Flat, semi curved, and curved. Width varies from very narrow to extra wide. Combine the variables, and you get what seems to be a limitless number of variations. With enough trial and error, you'll get an idea about what works and what doesn't. But it's the trial and error part that can be a challenge.
Saddles aren't cheap. Quality saddles can be many times more expensive than budget models and there's no guarantee that an expensive saddle will feel any better than a low-budget offering. A $300 saddle in the wrong shape or width will just end up being nothing more than a torture device. In the broadest terms, within any given shape style, the more expensive saddles will tend to be more comfortable and better built. Having said that, there will be no shortage of guys chiming in about how a low-buck saddle is "the best I ever owned." And they're not wrong. Shape and width are the most important; price is only something to be considered after fit.
Figure out what shape works for you. Go bike shopping, not for the bike but for the saddle. Stock seats on new bikes are notoriously lower spec, but what you're trying to figure out is what shape feels best, so sit on a lot of bikes. Once you get a feel for what seems best, shop the various brands based on quality and budget. It might be expensive, or it might not, depending on how well you can narrow your focus. Remember too; you can always Craigslist the ones that don't work out. Sure, that's a big hassle, but how else are you gonna find the promised land? Online shopping? Photos are key. You wanna see a saddle from as many different angles as possible to discern curves and cutouts.
For me, I prefer a semi-curved shape and fairly narrow. Specialized Body Geometry saddles are quality designed and quality built. Specialized Phenom in a 143 width is about as good as it gets (for me). The truth is, there are many other saddles with similar shape and qualities, but I stick with Specialized because, well, they just work for me. Now here's the thing -- it really doesn't matter what I ride if it isn't a shape or width that will work for you. Only you can figure out that part.
-Kedosto