Consider the events you are attending. Know what type of atmosphere and who will be there. This will help determine how formal of a cocktail dress you need.
Decide on a budget. There is a wide range of prices when it comes to cocktail dresses. Know your limits and communicate them to the salespeople when shopping so they don't hook you on an expensive dress that you can't afford.
Try on all styles that even remotely appeal to you on the rack. Sometimes it's hard to tell how flattering a dress is until you actually see it on yourself. Try on as many different styles as possible so you can figure out what works best for you.