Check out EEVblog, Dave's taken a look at some stations worth a damn.
The most important things are thin solder with flux and using a separate liquid flux together. Might seem like overkill but you can't have too much. I like 0.5 mm lead free from Kester.
Something to consider is the tip heating element style. I like the hakko style where the heater is built into the tip. The older style wellers with a ceramic element don't recover as fast.