Learn & understand the "Four Cs" - Cut, Colour, Clarity & Carats (& the all-important shape) - then you'll be on your way to an informed decision.
There are many gemstones to choose from, some with specific meaning & differing costs. Decide beforehand whether you want precious or semi-precious stones.
There are many options - Gold, Silver, Platinum, Stainless Steel, Tungsten & Titanium - and each carries their own pros and cons.
Pearls are Natural, Cultured or Imitation with many types to choose from, like Saltwater and Akoya. Keep the size in mind - bigger ones cost more.