One thing that is important is to get a monitor that's specifically designed for FPV. Most modern monitors will go to a blank blue screen when the signal strength is poor, while a proper FPV monitor will continue to display whenever image remains, through static, and that's what you want to happen. Eg it's best to avoid the cheap monitors that are sold for watching DVDs in cars for that reason.
Personally I prefer to have a separate monitor and receiver (I have an 8" "Feelworld"-branded monitor which works very well), but many people like monitors such as the Black Pearl, which has a built-in receiver. There are pros and cons to both.
Another thing to consider is how you're going to mount it. My personal preference is to have it on a camera tripod beside me while I'm flying, but many people like to attach the monitor to the transmitter, in which case having a light-weight monitor becomes important.