There are a number of ways to compare shop vacs. One way is brand loyalty. If you are drawn to a particular brand because you prefer their warranty policy, or you prefer one store over another, that's fine. Most brands offer similar lines of vac equipment, so it is safe to shop by price, and features, at the same time as brand loyalty.
The first consideration is amperage/ horsepower rating, these stats represent the amount of power your vacuum has for suction. A smaller vacuum will have an amp rating of less than 10 amps, and a horsepower rating form 1-2.5 peak hp. These vacs are great for small clean up jobs, and they are very easy to move around, some are cordless and can reach places not full size vac can go. On the other end of the scale are vacs rated 12/plus amps, 6.5 peak hp. They are much more powerful, and bigger, and the vacuum you'll want if your projects are big and you work in the shop frequently.
The other main consideration is the capacity of the vacuum body. As the power rating climbs, so does the capacity of the vacuum. Smaller portable units typically start at 1 gallon capacity or smaller, the largest vacuums hold an impressive 16 gallons or more, great for big cleanups and fewer breaks needed, to empty out the unit.
Filtration is as important as the power rating. Lower end models will have foam sleeves, and/or paper replaceable filters to keep the debris inside the body of the vacuum, and away from the interior moving parts. These filters are easy to clean and cheap to replace when they lived out their usable lifespan. Higher end vacuums have greater filtration systems, including HEPA filter technology. They work very well, but are obviously more expensive to use, and replace.
Accessories are the next consideration. The round end of a hose is fine for most uses, but, specialized floor nozzles, crevice tips, and squeegee attachments are available that make special cleanups as easy as it gets. There are micro sizes accessory ends, great for pulling the dust out of the smallest electrical powered hand tools.
It's important to note that most shop vacs are rated wet/dry vacs, meaning they can handle sucking up water safely. However, water is deceiving when it's laid out on the floor. If you spilled a known quantity of liquid on the ground, a burst gallon jug of water or juice for example, as long as it's not flammable liquid, you can draw up the liquid, to the rated capacity of the vac. But it's not made for pumping out a flooded basement where even a thin layer of water on the floor, might be a hundred gallons or more, considerable greater than the capacity of any shop vac.