How do I know which running shoes are best for me?

I am getting ready to buy myself some new running shoes (because the ones I got at walmart are kind of a cheapo brand).

I was thinking of something in the 30–40 buck price range. I have seen some New Balance shoes at this price and I hear lots of good things about them. But I have also heard that each shoes is different and I want to know how I can determine which is best for me. I have also seen Reeboks at this price and many other shoes, and this makes the selection harder (although new balance is the one I hear about the most).

For example, what do I look for in a running shoe?

I want something I can walk AND run in. Long distances.