The first thing that you should look at is the company's track record. Have they been in business for a while or are they going to disappear the first time you really need them. The failure rate of new businesses is very high. Everybody likes to give the underdog a chance but is it really worth it when the extreme temperatures hit and they are nowhere to be found?
Is the company licensed and insured? Let's be clear. You are asking a service provider to come into your home and work with volatile energy sources (LP,natural gas, electricity or oil). I think it is important that they are trained, licensed and insured. God forbid something happens and this is not the case.
The days of bigger is better are over. Today's high efficiency furnaces, heat pumps and air conditioners do not give you the efficiency that you think you are getting if they are not properly sized to your home. A heat load calculation needs to be done to determine the size of the system that will keep you comfortable at the efficiency that you expect. If the HVAC sales persons does not pull out some sort of measuring device, they are probably not going to design the best system for your needs.
Do they have a dedicated service department? The skill sets for installing and servicing equipment are totally different. The service technician is trained to diagnose and repair problems with the system (which are numerous and diverse) while an installation technician is trained to install a system where most things are predictably cut and dried. A company with a dedicated service department can do installations and service at the same time. This gives the homeowner more prompt and expert service when they need it.
This is just scratching the surface on this issue. The fact is that all HVAC companies are not created equal.