Either way, make sure that you can return the speakers if you don't like them. Even if you have had a listen, they probably will sound different once you get them hooked to your computer than they did at the computer store. First, make sure you get a three-piece speaker set at the minimum. While some two piece sets have decent sound, nothing can match the booming sound of a dedicated subwoofer. Next look for external controls.
Volume control is pretty standard but equalization and panning controls are very nice to have.
Some speaker sets even have mute buttons and preset EQ buttons for extra convenience. Also, look for 3D sound capability. Many of today's games use 3D surround for extra realism and you want a sound setup that can tap into this. Some speakers feature some type of extra bass boost system. Whether it's MegaBass, HyperBass, SuperBass, NastyBass, or ThirdBass, it's a good feature.