Typically your biggest concern while shopping for a corset as outer wear is finding one that fits correctly. You want to find one that compliments your shape while still being comfortable. A corset should fit to your waist and chest exactly, without being too tight.
Often times this requires you to have a custom corset made, but budget based buyers may be able to find what they need at regular outlet stores. You should never buy a corset online unless you know your exact measurements.