The usual factors considered in selecting coconuts for consumption are not really relevant to the shopper searching for cave material. The only constraints are size, shape, and the quality of the exterior shell. Scratched, cracked, or stained shells should be avoided. Discoloration due to moisture is normal, as most markets frequently wash the exposed produce and coconuts are usually found in the produce section. The normal method of shaking the nut to check for juice is also not relevant.
Dry nuts are good.
See note below. These will be dark colored depressions in the shell of the nut. The hard eyes will resist all but the most energetic attempt at piercing, but the soft eye is easily punctured. Once you find and puncture the soft eye, use the tip of a small knife to enlarge the hole in the shell. The coconut can now be inverted and drained of any liquid.