A shape which suits your sleeping posture(s). Some side pillows are ideal only for side sleeping, but others are hybrid designs which combine features for side and back sleepers.
Features to alleviate various types of pain. Some people are particularly prone to ear pain or shoulder pain while sleeping on their sides. If that describes you, there are side sleeper pillows out there specifically for your needs.
A comfortable material. Many different materials are used for both the casing and fillings of side sleeper pillows. You can choose from buckwheat, memory foam, microbeads, and more.
A pillow which is suitable for your sleeping environment. Do you sleep in a hot or cold environment? Do you prefer your head to be warm or cool? Choose a material which is suitable to your needs. For example, if you live in a hot climate and need something to cool your head down, you could buy a gel foam or buckwheat pillow. But if the reverse is true, these pillows might make it hard for you to get comfortable enough to fall asleep.