The Head Unit is the most important part of the audio system.   You will always be staring at the head unit and touching it to control your sound system.  It is a good idea to look for something that is aesthetically pleasing, integrates to your car, has a logical button layout and has features that best suit your needs.

Head Units Features

CD Changer Controls - Whether you get a CD, cassette or MD head unit get a model that has CD changer controls, they only cost a bit more, but give you the opportunity of simply plugging in a changer in the future.

Power - Probably the most overrated feature in head units.  The power on head units is seldom given in RMS watts (see amplifiers section for definition).  Typically a head unit has an output of about 5-7 watts RMS per channel, while a high-powered head unit goes up to 13-15 watts RMS per channel (even if they claim 35 or 40 watts).

RCA Outputs - If you are planning to run the speakers from the head unit's built-in amplifier, you don't have to worry about RCAs, but if you plan to add amplifiers in the future, get one with a set of RCAs (left and right), three sets preferably (left and right for front, rear and subwoofer).  An important feature to look for is high-voltage RCA outputs.  Typically RCA signals are less than 1 volt.  High-voltage RCA signals are 2, 3 or even 4 volts.  This allows for better noise immunity and gives you a higher headroom for amplifier gain settings.  Most high-end manufacturers are selling units with high-voltage RCA outputs which are frequently used in competition.

Security - There are many security options for head units nowadays.  None of them is 100% effective in deterring theft.  Detachable faces are the most common option.  The front part of the radio comes off, rendering the rest of the unit useless.  The problem is that after a while people forget to take the face off, or simply tuck it under the seat or in the glove box.

Another option is codes, key CDs (i.e. Blaupunkt, Eclipse).  If power is cut off, the unit asks for a code or a predetermined CD used as a key.  If the incorrect code is entered, it locks the radio up, requiring service from the manufacturer.  This has proven to be an inconvenience when the owner loses their code or forget which CD they used to program the radio.  Some radios, such as Blaupunkt are using a smart card, that when removed, renders the unit useless, but again, people forget to take it out or lose it causing aggravation to the consumer.

Yet another security protection pioneered by Kenwood is a flat panel that covers the radio when the ignition key is turned off.  While this will fool some people into thinking there is no radio in, it won't fool most thieves.
  

RF modulated CD Changers

FM modulated changers can be hooked up to any radio that has an FM tuner, whether factory or aftermarket.  They use the radio's antenna to introduce the signal.  They are usually simple to hook up and consist on the changer itself which is mounted in the trunk or under seats, the control box and the display/remote control.  The drawback is that the sound of the CD changer will not be "CD quality", it will be as good as the FM tuner is.  The signal coming from the CD player has a wide frequency range but the FM tuner limits the signal, cutting the lower and upper ends of the spectrum.