No need to look further, we have big exchanges with high liquidity so no need to look for more. I personally use binance, bittrex and hitbtc.
I list some though these are common things that we should look up to.
Privacy
Security
Liquidity
24/7 support
Instant deposit and withdrawal
How can you measure this criteria , how can you be sure of their privacy and their security as all exchanges promise that then they get hacked !!
Also,what about other features you are looking for that if implemented you would consider using in a new exchange ?