There are many considerations in choosing which knives to purchase. Purchasing a high quality set is going to be expensive, but will last and will work well. I think this is better than buying a cheap set which you have to replace every few years. Do not be afraid to 'window shop' at specialty gourmet or restaurant stores before you buy, to see what is available and to compare styles and brands.
Good construction in a knife is very important. The best knife blades are forged from a single piece of steel and have a full tang. The tang is an extension of the blade and runs the length of the handle. The tang should always be riveted onto the handle. A full tang is needed for heavy duty use like chef's knives and cleavers. Half tangs are okay for lighter duty like paring.
The knife handles should be comfortable in your hand, so it is a good idea to go to a store where you can handle them before buying. If you plan on buying your knives from the internet, you may want to order a couple kinds to compare their feel, or else look at them in person at a store first before placing an internet order. The knife handles should be heat proof and look solid, without gaps or cracks.
After buying your knives, it is important to care for them properly. Never put them in the dishwasher, as they can get nicked and dulled. Always wash by hand and dry before storing away. Never store knives in a drawer where they can bang into each other. A knife block is a convenient way to store your knives carefully, and can be purchased separately if your knife set did not already come with one. When the blade edge gets dull, either learn the proper method of sharpening the knives yourself or have a professional do the job. Dull knives are not only dangerous but will not give you the performance you need when cooking.