I am in the process of getting my first keyboard and have spent a fair amount of time checking out everything available that might suit my needs. A big thing for me was the feel of the keys. There are a few keyboards that I really feel connected to, and many that I don't. I personally might sacrifice some features/functionality for a machine that felt better to play.
I know I would not max out the 32 note polyphony any time soon.
I also found that the shape and configuration of the speaker really affects the sound. There are some nice sounding mid-range Yamahas that I played with, that sound a lot better (unplugged) from the next models up. This is due to the mid-range having a nice round component speaker. The next model up had little oval speakers that I think sounded like garbage.
I read a ton about what keyboard to buy, and see the same response over and over: get the one that feels right. I was hoping to shorten the process by asking questions and learning about machines. In the end, I am learning that the one that feels best to me is the one to get.
The best thing you can do is think about what you need the keyboard to do for you, download the manuals to see how to work the functions you like, then go to the stores and try them out. It is nice knowing generally how to operate the machine before actually playing one - when I head to the stores, I know what it is I'm trying to do, and can pretty quickly start to work the machine and see if it fits my needs.