Choosing an exchange is definitely not an easy task. We should look upon various factors before choosing the right one.
I generally see how good reputed an exchange is followed by factors like liquidity, customer support, coins listed, the UI and UX etc...
If everything seems good only then I decide to deposit my coins in that exchange. The wise ones say that never put all your coins in a single exchange.
So we should choose multiple exchanges (2-4) and keep amount in all of them.
I try to avoid exchanges that manipulate volumes and order books, it makes me wary and see other options, and the security and degree of protection of the exchange is an important factor