Rechargeable, not batteries. This is the one that actually matters. Watch batteries die without warning, cost more over time, and you will never have a spare when it counts. A USB bullet costs a little more once and then never does that to you.
Rumbly beats buzzy, and small toys struggle with it. A cheap bullet vibrates fast and shallow, which goes numb quickly. A good one has a lower, deeper motor that stays feeling like something after ten minutes. It is the single biggest quality difference in the category and you cannot see it in a photo.
Match the tip to your sensitivity. A pointed tip concentrates everything into a small area, which is either exactly right or far too much. A rounded or soft silicone tip spreads it out. If regular vibration already feels too sharp, go soft.
Check the lowest setting, not the highest. Anyone can build a toy with a strong top speed. What separates a usable bullet is whether setting one is gentle enough to warm up on.
Silicone or ABS plastic, nothing porous. Both are body-safe and easy to clean. Silicone is softer and quieter, ABS is firmer and transmits vibration more directly. Neither is better, they just feel different.
Waterproof is worth the small premium. Not mainly for the bath. A fully waterproof bullet can be rinsed properly instead of wiped, which matters more than people expect on a toy this small. Pair it with water-based lube.