Choose a name that's distinctive. If you have a name that's duplicated several times in the phone book, you will likely run into issues with being confused with other actors who have the same name, making you more likely to be seen as just another face in the crowd.
Choose a name that's memorable. Having a name that sticks in the mind will help someone remember, by name, a great performance that they saw you in. The last thing you want is for someone to say, "I saw this great actor playing Falstaff the other night and it was...shoot, I can't remember his name!"
Choose a name that is not too difficult to spell. Simply put, if your name is hard to write, people won't write it. Only slightly better will be instances of your name appearing misspelled, which may cause confusion or cause people to focus on the name itself instead of you and your performance.
Choose a name that is not difficult to pronounce. Similarly, a name that's tough to say won't get talked about nearly as much as one that's euphonious and rolls off the tongue with ease and pleasure. Whatever name you choose, say it over and over a few times to see if it's still easy to say.
Consider how your stage name will inspire you. Many actors find that a stage name allows them to not only step into the role of the character they're playing, but to step confidently into the role of "professional actor." To this end, choose a name that suggests to you a great actor, such as a name inspired by one or more of your favorite role models and inspirations.
Consider using your own name. If your given name fits all of the qualifications above and works for you as an actor, why not keep it?