UV protection

Ultraviolet light (UV) can cause both short-term and long-term effects on the eyes.  Short-term UV damage is most likely in situations with lots of reflected light, such as at the snow and on the water. All sunwear should block UV.

Tint colour

Tint colour has an effect on the way the world looks, and on contrast.
Yellow-Amber-Brown lenses cut out blue light which scatters more, and so can be used to enhance contrast. Enhanced contrast is useful in shooting, and lower light situations, eg tennis at night, driving in lower light.
Grey lenses block equal amounts of light from all colours, so have the smallest effect on how you'd perceive colours. 

Tint density

Tinting can be applied to different intensities - tint density is usually described by the % of light blocked.   
Solid tint lenses  -  have the  same strength of  tint all over the lens.
Gradu-tint lenses - have more tint at the top of the lens, less at the bottom.

Photochromatic/ Changing Tints

There are two options in lenses that change their tint in relation to light levels:
Transitions lenses are clear indoors and darken outside, and work very well as general purpose eyewear.  One limitation though is they won't darken inside a car. 
Drivewear lenses have a medium tint in low light conditions through to dark when its bright.  They are will darken inside a car and are also polarised to further reduce glare.

Polarised lenses

Polarised lenses reduce reflected light more, and so are useful wherever there is a lot of reflection off bright surfaces - eg water, snow.
For fishing, reduced reflection off the surface of the water means you get a better view of what lurks beneath...

If you need optical correction

Making prescription sunglasses sometimes limits the styles available, so be sure to confirm that a frame you have in mind will work with your prescription.
Wearing disposable contact lenses underneath non-prescription sunglasses is another option..