As with any winter essential, if you're buying wool, opt for the highest possible wool content you can afford. But don't feel limited to wool. A leather, or good-quality pleather jacket will keep you just as toasty, as will a glamorous fur or faux fur.
As far as shapes go, opt for a similar fit to what you feel most fabulous in with dresses. If you prefer a nipped in, tailored look, go for the same in a coat. If boxier styles are more your cup of tea, then go that way with a bomber or cropped trench. By selecting a fit that suits your body type, you'll avoid looking like the Michelin man in Ghostbusters.
Another foolproof way to add some shape to your winter garb is to belt your coat. A nice medium or wide patent belt can add a great glam factor to any longer jacket. (I wouldn't normally belt anything shorter than hip length, as you need a decent amount of fabric below the belt.)
And finally, consider your local climate. It's all good and well buying the most fabulous cashmere dress coat, but if you live in the winterless north, you'll probably have few chances to wear it. In that case, a lighter rainproof jacket, or thick cotton blend might be more practical.
By the same token, a mid-weight trench won't cut it in the snow of Canterbury or gales of Wellington. If you're going to invest in a coat that makes you smile every time you put it on, you want to be able to wear it as often as possible!