Find out what type of lighting you have. Are you using intelligent lighting, or a mix of intelligent and analog? Not all DMX boards will operate both types of lighting so you need to be sure and check out the specs before buying your board. Even if there is a chance that you will be using analog lighting in the future, then you need to invest in a dual board that controls both analog and intelligent lighting.
Decide your budget. DMX controllers can range from a few hundred dollars to close to $100,000 depending on it's manufacturer, quality, and capabilities. If you are not planning on doing a lot of programming then you should be able to get away with a controller in the $300-$500 range. If you want the ability to do complex controlling of your fixtures then move to step 3.
Figure out how many fixtures you have and how many channels you need? Each lighting fixture takes a certain amount of channels. Channels control features like strobing, color change, dimmer strength and gobo change. Your amount of channels will vary from fixture to fixture, so be sure to do an accurate count of both how many fixtures you have, and how many channels each fixture requires.
Visit your local lighting showroom or dealer. The best way to be sure that you have the right controller for you is to talk with a rep or salesperson for stage lighting. You already have your equipment list, budget, and channel needs, so just hand those over to the rep and they can design the perfect system for you.