When choosing your headlamp, first consider your activity: what do you want to use the headlamp for? You should also consider whether you prefer a rechargeable battery or interchangeable batteries. Lastly, look at the functionalities of the lamp: these range from water resistance to a light sensor.
A decent headlamp has a long battery life, can be set to different modes (e.g. low power, red light mode, flashing mode), can be tilted (so that you can easily read the map, for example, and then direct the light back onto the path in front of you), and has an adjustable headband. Some models can also be attached to a helmet or bicycle.
The number of lumens (the unit in which luminous flux is expressed) you need depends on your activity. Setting up the tent at night, cooking, or playing board games is perfectly possible with a light intensity of up to 100 lumens. If you go walking, cycling, or jogging in the dark, opt for 100-300 lumens. Intensive outdoor sports such as climbing, mountain biking, and trail running benefit from high brightness of up to 750 lumens.