Read the reviews (there are plenty of them here), try the cigars you think sound great and make notes. Like others said, pay attention to country of origin, tobacco used, size but also to brands, factories etc. In time you'll be able to say (for example) "ok, this contains Brazilian tobacco, I don't like the sweetness, I'll pass" or "hey Nicaraguan puro, its likely that this fits my palate". But you have to smoke & try a lot of cigars before you reach that stage.
Join the
newbie sampler trade, a great way to get some cigars that are most likely new to you and a great way to interact with the more seasoned smokers here on the board.
You'll find that there's a lot of knowledge here and that most of us are willing to help beginners out, you signed up on the right board.