A lot of it has to do with the feel and texture of the lace, or just by looking at what it's made of. Better quality lace is going to be softer to the touch, and overall
look nicer. You should look for cotton or rayon-- Cotton cluny (
example), cotton eyelet (
example), venise lace (
example), net lace (
example), etc, and stray away from the scratchy poly synthetics.
If you're sewing your garments, which lace you should choose depends mostly upon personal preference and your favored style of dress. For example, Sweet Lolita uses a lot of cotton lace, whereas classical and gothic brands seem to favor net lace and venise lace.