Set your budget. The more expensive the oil pastel, the higher the oil-to-wax ratio and the richer the pigment.
Buy a student-grade oil pastel set if you are just looking to experiment. Because of their high wax content, they will not be as easy to blend. Van Gogh makes respectable cheap pastels. Holbein is known for quality but also makes student grade pastels, as does Sakura Cray-Pas, which has its Expressionist line.
Use Sakura Cray-Pas Specialists for a medium to hard pastel. This line is between the cheapest pastels and the most expensive. Some artists start a piece with Specialists but use finer pastels to complete their work.
Choose Caran d'Ache for a soft pastel that is easy to work with. This brand is beloved by many. The pigments are rich, and the pastel blends well and provides thick coverage.
Look to Sennelier if you want an extremely oily pastel set with vibrant pigments. Many artists who like working with oil paints are comfortable with this brand. However, they are trickier for the beginner because they are slick.
Buy Holbein if you need excellent consistency and have plenty of money. Of course, the best pastel is the one that works for you, but Holbein might be the most respected manufacturer. These pastels go on easy but won't slide around, and the pigments are made from the finest materials.