What actually matters
Grip coverage under the whole foot, not just a strip at the ball. On a reformer your heel is on the carriage as often as your toes, and a sock that only grips at the front slides in exactly the position where you do not want to slide.
A closed toe unless you specifically want the split-toe feel. Split-toe socks are fine and are entirely a preference; they are also more expensive and slower to get on.
Some elasticity across the arch. A sock that bunches under the arch will annoy you for an entire class and no amount of adjusting fixes it mid-exercise.
Height, and why it matters more than you think
Ankle height is the default and is fine. Crew height is noticeably better in a cold studio and in any class with a lot of side-lying work, where an ankle sock rolls.
Whatever the height, check the cuff is not tight. Grip socks are usually a snug fit by design, and a tight cuff on top of that is uncomfortable within twenty minutes.
Washing them, which is where most pairs die
Cold wash, no dryer. Heat is what kills the silicone grip, and a pair that has been through a hot dryer twice is a pair of ordinary socks.
Turn them inside out so the grip is not rubbing against everything else in the load.
What I pay
Somewhere between fifteen and thirty dollars a pair is the range where quality stops improving. Above that you are buying a brand name, and I have not found a pair over forty that grips better than the good mid-range ones.
Buy a multipack. You will lose one sock of a pair within a month of owning it — this is apparently a law.