There are two main types of helmet you can get.  Those who plan to do longer skates down the trails will prefer a cycling style helmet. They are lighter and have more ventilation.  They are designed to be replaced after a crash. 

There are also the extreme style helmets.  They are more like a bucket, with thicker foam and plastic and fewer air holes.  They can take a lot more abuse, can survive multiple crashes, and cost a little more.  I use this style for my lessons and for boppin' around the neighbourhood.  When I go down to the trails I use the cycling style, so I don't overheat.

Whichever helmet you get, chose the brightest colours possible, to be visible at night and in traffic.

Try to get a bicycling style helmet with as much ventilation as possible for the price.  Typically the more aeration, the higher the price.  At lower prices, which are still fine for safety as long as they have the little tag saying Snell or ANSI or CSA approved,, make sure that there is a little lock where the side straps meet under the ear.  For only a few dollars more you can get a helmet with a wheel in the back which tightens the head strap so that the fit is always comfortable.

Although you can pay up to $200 for a helmet, there are perfectly acceptable name brand helmets selling at Canadian Tire for around $30 [Never buy your skates there!] or sports stores that fit the bill. For as little as $35, but generally more, you can get one (Bell brand has some) that has the outer microshell fused to the foam.  They last longer than the cheaper helmets where the thin plastic shell is taped to the foam.  

Hope this helps.