The important bits in fish oil are the omega-3 fatty acids. And the ones we care about are EPA and DHA. Look for a fish oil that's high in EPA/DHA. The ones I take are 33% EPA/22% DHA, and overall 65% Omega-3's.
Why should you care about the percentage of EPA and DHA?
The higher the percentage, the less pills you have to take. Ideally you want about 3 grams of EPA/DHA per day. For me that's five 1000mg pills a day. The less fish oil you take overall means the less exposure you have to heavy metals and other toxins in the fish oil. Granted, most quality fish oil supps are purified and filtered, but if it's something that worries you, taking 5 pills to get the same amount of EPA/DHA as 10 (or more) lower potency pills cuts your exposure in half.
Plus, a gram of fish oil is still oil, and contains 9 calories. Plus the calories from the gelcap. 10 pills is 100 calories. I don't know about anyone else, but I've got tastier things to spend those 50 calories on that I save by using a higher potency pill.