Choose something that's creative. Fortunately, you're probably a creative person, or you wouldn't be writing a play in the first place. A title like "The Sky" is boring and unimaginative. "October Sky" has a bit of mystery, with shades of orange and a pumpkin smell to it.
Make your title memorable. Sometimes memory retention has a lot to do with how your piece ends up being marketed. Go for a title that's rhythmic and catchy if you can.
Stick with easy-to-say titles. Help people latch onto your play's name by staying away from names that no one can pronounce, like "Mr. Schkoniegfries' Curtain Call." Simplicity often helps people remember titles.
Select a title that fits the story's genre and outcome. If you're writing a western and call it "Hot Chicks," you've already set your audience up for unmet expectations. If the piece is abstract, you have almost unlimited choices of what you call it.