A cold-water rated regulator can be used anywhere. A non-rated regulator cannot. Either buy a cold-water certified reg, or make sure it can be fitted with a cold-water kit.
Nitrox is becoming ever more widespread. Make sure your regulator can be used with Nitrox. That means avoiding at all costs regulators than contain Titanium - these high-priced regulators can and have spontaneously burst into flame when used with Nitrox.
However, do NOT pay extra for a "Nitrox regulator" - this basically means paying extra for a nice yellow-and-green colour coding on your regs. Total rip off.
Twinsets are also no longer the sole province of the hardcore technical diver, especially with twin 7s on the market. Some first stages give better twinset hose routing than others, it can be worth investigating.
First stages are either piston or diaphragm designed. It doesn't matter much which you get, so long as it's a balanced design - avoid unbalanced first stages.
Get 300 bar DIN, not A-clamp. Even if it means you have to buy an A-clamp adaptor as well. DIN is a more compact, versatile, and secure fitting: 300 bar DIN regulators can (on their own or via adaptor if necessary) be used on any scuba cylinder in existence, whereas A-clamps can only be used on valves specifically meant for A-clamp use.
The only reason DIN isn't used universally is that A-clamp was invented first.
More... and Even more...
Do not buy a cheap and nasty octopus regulator. If you wouldn't be happy swapping your octopus and your main DV around for a dive, you've made a bad purchase. If your buddy goes out of air, handing him a low-quality DV that can't give him enough gas guarantees that he'll rip your DV out of your mouth in an effort to get a decent lungful.
Make sure you have at least four low pressure ports: Your main demand valve, backup demand valve, direct feed for drysuit, direct feed for buoyancy device.
Most twinned-up Nitrox divers use Apeks, Scubapro or Poseidon. Any of these can be used on singles as well. Poseidon use a higher intermediate pressure than most other regs, and use non-standard hoses - make sure you understand the consequences of this before you buy.
I use:
Primary: Apeks TX100 first stage with TX40 second stage & wing inflator
Secondary: Apeks DS4 1st with TX100 second, suit inflator & Suunto SPG
TX100 DV is backup as it can be detuned more than the TX40 to cut down on freeflow risk, and performance is identical.