Once you've determined that a dedicated server is for you, there are four major areas that you'll have to consider while shopping. They are:
Hardware
-Processor type, speed, disk size, disk type
-Processor type, speed, disk size, disk type
Operating System
-Linux, FreeBSD, Windows, Solaris
Software Configuration
-Web Server, Databases, Control Panels, Anti-hacking utilities
Hosting Provider
-Connectivity, Support