I would look for something that at least has an easily adjusted headband; the click-wheel system is great, because you can quickly adjust the helmet for wearing a hat or balaclava, or even loosen it to get the helmet seated on your head, then tighten a couple of clicks. Bring along a hat/cap you'd want to wear riding; fit for that, then dial the headband tighter when you're not wearing said hat.
Helmets get expensive fast, and most of what you're paying for: 1)marketing 2)vents (yeah, the more vented, the more expensive) and 3)light weight. Skater-style helmets are great...except from late spring to early fall, when the lack of ventilation makes them head-cookers if you're working the pedals. If you ride your bike regularly, I recommend a helmet cover; it works sort of like a shower cap, and keeps your head dry in the rain and blocks a lot of wind when temps drop, making a huge difference in comfort (I pair mine with a wool cap for mild winter temps, and then break out the balaclava when it's really cold out.)
My housemate has a helmet that is bright yellow and (I think) reflective, but you can just as easily put a couple of strips of cheap reflective tape on the helmet. Both are a good idea; reflective bits on you help drivers figure out your size/shape/distance on the road.
If Jeff Ferris doesn't have anything you like, your next best option in terms of selection is probably Belmont Wheelworks. Almost any bike shop can also order stuff through their distributor network, and there's also sites like Nashbar (linked above.)
Lastly, if you do buy a helmet in a shop, they should offer to fit it to you right there...