There are two basic types of scallops: sea and bay. Bays are smaller and can be tastier, except they're more likely to become overcooked. Sea scallops are larger and easier to grill.
When purchasing scallops, avoid those that smell fishy or sour; these are signs that they aren't fresh.
Scallops are sold according to size, and the smaller the number count per pound, the larger and more expensive the scallops.
Be aware that a stark bleached-white color or excessive milky liquid in the display tray can be a sign the scallops have been treated heavily with sodium tripolyphosphate (STP). While STP is useful to help bind natural moisture to seafood during the freezing and thawing process, it can be overused and cause scallops to soak up additional water.