I'd say that the most IMPORTANT factor for me would be the ability to hold a sharp edge. In fact, I often carry a large utility knife in addition to my pocket knife just in case I need that extra-sharp point. (I'm no master at sharpening, so my pocket knife is CLOSE but not quite as sharp as a utility knife.)
Also, because I wanted an all-around great knife that can take abuse well, I placed the order for the Himalayan Imports' 15" Ang Khola tonight.
Theory aside, most of my knives are cheap ones that fall into the $3-10 range because of their appearance. (They also take most of the heavy duty abuse that I wouldn't put, say, my SwissTool through, because they're so cheap.) For example, for $6, I picked up a neat-looking push-blade with 6 hinges, 10 parts, not counting rivets. I wouldn't count on it for much more than... ok, so I don't use it at all. The blade's about 1-1.5mm thick (with 2 decorative holes through it), and probably just plain stainless steel. But, I hadn't seen a knife like it before, so I picked it up. I'll scan a picture of it if anyone is wondering what I'm talking about.
Anyhow, I pretty much pick up whatever catches my attention, if I can afford it, but edge retension is the big issue with me. I seldom have to actually sharpen my SwissTool, and because of that, I can put a nice razor-edge on it without having to fix it every week or 2.