Determine what activity you'll be using it for.
Air mattresses are comfortable and cheap, but heavy, bulky and poor insulators.
Open-cell foam pads are comfortable and cheap as well, but also bulky and if they get wet, forget about it. Closed cells are inexpensive and less absorbent, but you need a real thick one if you want comfort. Self-inflating pads are great to sleep on, can be rolled into a very compact size, and provide excellent insulation. They're more expensive, however, and can be relatively heavy. Head to an outdoor gear store that sells a wide variety of pads and spend some time on the floor.