A wheel is very important for your hamster. They LOVE them.
Here is what to look for in a wheel:
A solid plastic wheel. Wire mesh is hard on their feet. If you do get a plastic one make sure that your hamster doesn't chew it.
The right size. Make sure it is big enough that your hamster doesn't have to arch its back to use the wheel.
Easy to clean. Hamster wheels get dirty, so make sure you can clean it well.
A quiet wheel. This is more for you than the hamster. You can buy special silent wheels, but for the most part plastic wheels are pretty quiet. Metal wheels tend to be very squeaky.
If your metal wheel squeaks:
You can try putting a bit of vegetable oil where the wheel attaches to its base or to the cage bars. This will help. Only use pet-safe vegetable oil.