A neck pillow has a neck roll built in to keep your neck spine in it's narural curved position when on your back. On your side it will keep you head and spine level. That being said here's some other things to look for:
The pillow fill - foam, feather, synthetic fiber. All can be good depending what your looking for but most popular is a fiber fill. Here's why: It tends to be most comfortable (not to firm or soft and holds form better).
Ability to deter germs and allergens. Look for a pillow that is "hypoallergenic". Purchasing an additional " dust cover " is a good idea.
Pillow size - the standard is about 20"x26". To big or to small can strain your neck, not to mention a real strange design or shape should also be avoided. The reason is that it is common for individuals to sleep incorrectly on their pillow and wake up with a sore neck.