The only real thing to look for is budget, if you just want it for the gym, go for a cheap watch. If you're just using it for the gym, and don't care about tracking/logging anything, just go for one of the F___ models.
Try to get one with a coded transmitter though, I've had a couple instances where my neighbor had one, and my machine was picking up both, so it said my heart rate was about 250.
I've also just got one from garmin that also has gps (it's an Edge 305
), for use on my bike. It clips to the handlebars, and has speed, distance and all that stuff on the display. When i get home, i plug in , and it pops up on a map, plus it logs heart rate, speed, altitude, how fast the pedals are going, and all that stuff. They make ones for running too, that are in a HUGE watch. Mine doesn't have maps in it, so you can't see streets, but it does draw a line as to where you've been. There are ones with maps but they're way more expensive.