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
I do want those too and I highly recommend others like kucoin and bitfinex as well. But I do really want to see an exchange to offer is they will pay the losses of users when there's a hack that stole our assets. That would be the perfect exchange but I'm willing to accept if they can only pay back at least 70%-80% of our losses.