Attributes to consider:
Length of the belt. If you're as young as most of the SciForums crowd you're probably going to want to jog on it, so the belt must be really long to accommodate a running stride. I'm too old and creaky to jog but I walk with long steps and I still need a long belt. Short belts are for people more run-down than me who are just going to walk leisurely.
Maximum incline. I walk uphill in order to get decent aerobics, because I just don't like trying to walk faster. Our treadmill goes up to 15 percent grade. Many go to 12 percent, which is more or less OK. Some only have a maximum of ten percent; you probably won't be happy with that unless you intend to only run.
Programming. Everything has a computer these days and that's not always a good thing. I prefer to adjust the speed and slope as I go. If you work out to music as I do you'll probably want to match your speed to the cadence of each tune and compensate with the incline to maintain the right level of difficulty. Most treadmills have multiple preset programs that I just don't ever use, but you might appreciate them. Check them out because they're all different to a certain extent.
Maximum time. This is a crappy feature to avoid. It's common on institutional models where people are waiting to use the equipment, but they often halt after only 20 minutes, which isn't much of a workout. Make sure you get one that will keep going as long as you do; on some models it's a real pain to reset everything and start over.
Pulse monitor. There are a variety of pulse monitors: ear clips, chest bands, hand grips. I've found hand grips to be the most accurate but they tend to wear out. On the other hand, our 18-year-old Aerobicycle bike has an ear clip that's still intact, but it's always had a tendency to get confused occasionally and give an alarmingly preposterous reading. All exercise equipment has a clock; if you can take your own pulse easily (while you're in motion) you don't really need a pulse monitor.
Emergency stop. They all can be stopped by frantically hitting a rather large button on the console. On some of them the button is in a really awkward spot (for me, anyway) and I often hit it by accident. If you emergency-stop a treadmill, most of them shut down with no restart capability: you lose your clock, settings, and everything. On others the button isn't easy to find in an emergency unless you practice. Many have a dead-man's key that attaches to your waist; if you miss a step and go sailing backwards, your body pulls the key out and the machine stops. I've only wanted to do an emergency stop once in 15 years, and I couldn't find the damn button. But I've accidentally stopped myself rather often. I don't find this feature to be well-engineered.
Belt maintenance. You need to keep the belt lubed because the underside is sliding. Eventually it may wear out. If you're moderately handy with tools you can probably get a new belt for about a hundred bucks and replace it yourself. However, as a reference standard, two of us, using it an average of 2 1/2 hours a week between us, kept the original belt for more than ten years, and by then the mechanicals had also worn out and it wasn't worth repairing.
Walk or run? That's probably the key factor. If you're going to run you need a heavy-duty machine. Walking puts far less wear on it and you can settle for something cheaper. Don't let somebody sell you more machine than you need.
Yes, exercising outdoors is great -- if you live in the woods or near a park, and you're in a place like San Diego where the weather is nearly always decent. Personally I think running on pavement absolutely sucks and it just has to be hard on your body as well. (When you get to be my age you'll wish you'd taken just slightly better care of your body. Trust me!) As for walking outside, you don't cover much ground and you'll soon tire of the twenty block radius around your home or office. I like working out on a treadmill or bike at home with the stereo blasting through the speakers instead of having headphones rubbing up and down on my ears.