Indeed, a system that's not properly sized wastes energy and wears out equipment sooner because it will go on and off more frequently. And in humid climates, a system that's the wrong size can turn a home into a mold farm because moisture will form on the overly cold surfaces.
Optimum efficiency is the next most important feature to look for.
Units typically range from a moderately efficient SEER of 10 to the most efficient 17. Choose one within that range that's appropriate for your climate and electric rates. Finally, remember that even the best unit can be damaged by an incompetent installer. Hire only an experienced, qualified installation company.