Some scripts cause so many problems that they may not be worth the trouble. If you are doing this for the first time look for simple scripts. There are pros and cons for scripts that reside on either server. Often if the script resides on another server the developer or owner requires that you place an ad on your site. Also your visitors go to another server for a split second to perform the scripts operation.
Most scripts require some maintenance and modifications.
A good script will make this easy. Go to the scripts demo and check this out. It is important that you select scripts that are designed to be used on the appropriate server. You should always try the online demo. In my opinion this is the most important factor to consider when choosing a script.