You should get a carbon steel wok with two short handles (not one long handle).
You want the steel to build up a patina of oxidized oils, which rules out stainless steel and aluminum and non-stick. You could conceivably get a cast-iron wok, but those are really heavy.
You want the two small handles so you can pick up the wok, but you don't want long handles that will dump hot oil or food everywhere if you bump them. Unlike a saute pan, you don't toss the pan, you toss the food. (Tossing the pan pulls it away from the flame, which is bad when stir-frying!)
Your best bet is to go to an Asian grocery. You'll be assured of getting a product at a good price. Shouldn't cost more than $25, I don't think.
Oh, one other question is what sort of stove you have. If you have an electric stove, (a) I'm sorry, and (b) you have to get a flat-bottomed wok. If you have a gas stove, you can either get a flat-bottomed wok or a round-bottomed wok, but the latter only if you get a wok ring that holds the pan just above the flame. You want as much heat going into that pan as you possibly can manage!
Um ... just off the top of my head, important things when cooking with a wok:
- Make sure all of your items to cook are ready before the first thing goes to the heat; it's quick cooking, and you don't want to be trying to chop something while you're trying to stir things at the same time.
- You want to cook over high heat. The oil should be just about to smoking before cook with it, and you want to use an oil with a high smoke point (eg, peanut, canola, soy, corn)
- Don't cool off the pan. Add ingredients in stages (harder, longer cooking things first), so you don't drop the temperature too quickly.
- It's called a stir fry for a reason -- you need oil to help transfer the heat. You can saute, if you really want to, but it's not quite the same.
... and unfortunately, most residential stoves can't put out enough heat for the wok to work perfectly -- it might be good, but you'll never quite get the same as what you get from a restaurant. If you're cooking for a large number of people, it's sometimes easier to cook the ingredients individually or it batches, then combine it all back together at the end.
Best Answer
Wok Hei is the "essense" imparted by the wok when stir-frying over very high heat. The characteristic flavor is due to the the Maillard reactions and the charring of the ingredients.
Practically speaking, most home stoves do not have sufficient BTU output to achieve Wok Hei. If you have a gas stove with sufficient output, consider yourself fortunate. Get the wok really hot before adding the oil and ingredients... and stir vigorously. You should also make sure to crank up your hood fan/ventilation, since there will be quite a bit of smoke generated.
For those without a high BTU stove (myself included), a suggestion was made here regarding a burner that could be hooked up to a propane tank.