Olive oil, like wine, beer, coffee and cigars and many such other items, is subject to personal preference. In my case, I happen to like the same brands of oils that David (BSO) mentioned. In the case of California Olive Ranch (COR), it is fast becoming a major factor in the U.S olive oil business. At one time their oils were hard to find at the retail level, but COR's business has grown to the point where their basic olive oil can now be found in many Wal-Marts. COR also has a good website, at http://www.californiaoliveranch.com/
, where one can learn quite a bit about olive oils (I have signed up to receive emails from them). For example, dating information, which Bill/SFNM mentioned, is important because olive oil deteriorates with age. Unfortuately, many bottlers of olive oils are not anxious to let purchasers know the age of the oils they are selling, for obvious reasons. There is also a lot of fraudulent misrepresentations about olive oils exported to the U.S.
Knowing the source of the olives used to make the oil is also important. Many imported olive oils simply state on the labels that they are a "product of Italy". However, that doesn't mean that the olive oils are pressed from Italian olives. The olives can come from places like Spain, Greece, Turkey, Tunisia, Syria, Morocco, Portugal, France and Algeria. That doesn't mean that the oils are inferior or of poor quality, although that can sometimes be the case, but knowing the provenance of the olives is something that I think all purchasers should know. In my experience, the blended oils tend to carry a lower purchase price. Often a low price in itself is pretty good evidence that the oil is a blend. The very best olive oils usually carry the highest selling prices.
Also, ideally you want to look for dark colored bottles (for the reason that Bill mentioned) and store the olive oil in a dark cool place. Another mistake that many people make is to save their best olive oils for special occasions. Since olive oils decline in quality with age, it is best to use them sooner rather than later. I typically keep two classes of olive oil on hand, an inexpensive brand and a very good brand. I use the inexpensive brand for cooking and the more expensive brand either for finishing purposes or for non-cooking applications. Mario Batali uses olive oil for everything, including in cooking. However, I have read that cooking with olive oil alters its chemistry to the point where test tasters can't tell the difference between dishes prepared with olive oil and regular vegetable oils. As a result, I sometimes will cook with an oil like rice bran oil (I use the Tophť brand) and finish with one of the olive oils just before serving/eating, for flavor retention.