I actually debated asking a similar question last month, as I managed to set mine on fire the day after Christmas, and based on the new one I got, differences I've noticed (mostly features I miss from the old one; also a few things I've noticed at my neighbors and mom's house.
Insulated top; If you frequently run out of space in your kitchen, and need to keep stuff on top of the toaster oven, it comes in handy. (and some allow the top to open up so you can expose the top so it could be a bread or plate warmer)
Is the rack connected to the door so, when you open the door, the rack pushes out a couple of inches, so you don't have to reach in to extract things and risk burning yourself? (okay, I admit, there's a few drawbacks to this; it means the rack isn't easily removable to be cleaned or if you need to pull it all the way out because there's something that got pushed to the back, and the next item)
Multiple racks or rack heights. The different positions might be useful for the broiler, but the multiple racks really aren't that useful; things won't toast right when they're blocked by another level, and they don't tend to cook evenly when in oven mode, either. (maybe if it's a convection .... it's my neighbor's toaster oven, so I haven't played enough with it) If you leave both racks in there, then you've barely got any space in between to grab things out, so you're risking burning yourself. (and well, they don't have that last feature where the rack pops out when you open the door)
Location of the controls; some are on the side, some are on the bottom. Controls on the bottom are more prone to getting damaged by things getting pushed around on the counter, but I prefer it for a few reasons -- (1) the toaster oven's narrower, as there's no wasted space to the side; (2) the door opens higher up; this means you can have a large plate on the counter without it getting in the way when you want to open the toaster.
Convection ; some have it, some don't.
Broiler ; not all can do broil (top element) only.
Depth of the unit; some of them bump out so they can fit a round pizza; if they also have a little bracket so you don't accidentally push it up against the wall, there's hardly any space left on the counter.
How exposed the elements are; some of the newer ones have grills over the elements, I haven't had mine long enough to see if that'll protect it from melted cheese dripping on 'em, which I think was the cause of my toaster fire.
Turn-dial vs. brown-ness setting. I don't know how to explain this one. All of the toaster ovens in the stores I looked in have a dial, where you have to turn the dial past 10 min, then back to the little reference marks for the darkness that you like your toast; My old one just had a setting at the bottom, you set it to toast, and hit the button. If you wanted to shut it off, you opened the door. Of course, with this style, there wasn't a timer on the oven, either.
Turn-off-via opening the door : Some do, some stay on. I'm used to it, but of course, if that's the only way to shut it off, that also means you have to open the door to shut it off when there's a fire inside, which means better airflow. (or unplug it, but when the plug's on the other side of the toaster, that one's not a great option, either).
Electronic controls : I personally view it as something else to break, but they might be able to do something special; I've never bought one, myself.
Cord length ; only really a problem when you've got an old kitchen that doesn't have a plug every 12" or whatever the new standards seem to be; but you really don't want to plug a toaster into a power strip if you can help it, so if you know you're going to need to run it 3' down the counter, check the cord length. (and which side it attaches, just in case you're then going in the wrong direction with it)
Crumb tray. I hear other people use 'em. They're supposedly important so you don't catch the thing on fire.
Accessories. Some come with a little tray to use; some of them also have a little insert to turn it into a broiler pan (so you lift it out of the pan a little bit, so it won't stew in whatever drips off). And I understand that you need some air flow around the pan, but in my opinion, something's wrong when the tray that comes with the toaster is 1/2 the area of the rack; it's like they weren't even trying, they just tossed in a tray from some other oven. Others come with a little tool so you can pull the rack out so you don't burn yourself (which then gets lost or broken and thus sucks)
Size. If you tend to make toast for lots of people at a time, then some of the larger toasters might be worth it; If you're single, the 6 or 8 slices of bread at the same time (but not the size of bread you like; you can only fit two of those) toasters might be a bit overkill) And they now seem to measure themselves by 'size of a pizza I can fit', which makes no sense to me, as everyone knows the correct way to size toaster ovens by pizzas is how many halves of an english muffin you can fit in at one time (to make english muffin pizzas ... avoid the bagels, as sauce and cheese drip out the middle)
... so um ... those are just some of the features I've noticed. Some people might care about the 12" pizza thing, I personally don't. The timer vs. push button for the controls are likely a personal preference, as is the attached rack to the door vs. height adjustable/removable rack.) The only really must-have is the removable crumb tray which Allison mentioned. (even though you can go years without worry until there's a fire)
Best Answer
I regularly see them in the catalogs that come to the house all the time. If you are looking for a pan in which a rack sets into, try Walter Drake at this link:
http://www.wdrake.com/WalterDrake/Shopping/ProductDetail.aspx?CID=Kitchen&SCID=Food+Preparation&ProductID=0000136379&SourceCode=20509000001&mr:trackingCode=6726E407-C781-DE11-B7F3-0019B9C043EB&mr:referralID=NA
They also have a few other toaster oven pans that may interest you.