Suggest some general characteristics: Waterproof, "Moonlight" low-output mode, simple controls able to be manipulated with gloved hands, and able to accept non-proprietary batts, both standard and rechargeable. Warranty and Customer Service from mfr/vendor certainly worth consideration.
Something not mentioned above is the suitability of the light to be worn in conjunction with a cap or other suitable hat, or even hood. This can be useful in rain/snow.
Some lights, intended for very long running times, or use in extremely cold weather, have remote battery packs of various capacities which are connected to the headlight by a wire.