Features and Fit
Regardless of price, helmets offer fitting systems inside for a snug, safe and comfortable fit. The first step is trying the helmet you're interested in on to see if its basic shape fits your head shape nicely. This is important because helmet companies use different shapes for their helmets and you want to get one that feels just right on your head.
Models and Differences
All helmets have straps and buckles that hold them in place, too. These are adjusted to hold the helmet square on your head and low over the forehead for protection. There are stiffer and softer straps and different types of adjustments and buckles that you might prefer so it's worth looking at these details.
You might also appreciate having a visor on your helmet to shade your face and deflect things if you ride off road. Some visors are removable and/or adjustable to position them just right.
If you wear cycling eyewear or plan to purchase some, it's a good idea to try it on with your helmet to see and feel how it fits. Usually there's no problem, but sometimes the temples or helmet straps might need to be adjusted for clearance.
There are helmets aimed at different types of cycling, too, from road riding, to mountain biking, to commuting, to even dirt jumping and downhilling. In general this means that they offer features that make sense for that type of riding. So, a commuting model might include a visor or reflective details, a racing model might have a more aero shape, bolder graphics and be ultra light, and a jumper's helmet would have more head coverage. There's no reason you can't use whatever helmet you like for whatever type of riding you do, though. So don't feel locked into any one type.