Make the most comments on the things you care about the most. When you get the pile of papers, don't just plunge in with your red pen. If you are co-marking with others, this is a good stage to meet and clarify expectations. Don't use a red pen at all if you can avoid it. Some people prefer to write notes on computer keyed to numbers in the margin.
Students see printed notes as respectful of their work.
The most important comment you can make is that a statement is unclear, or that you can't follow the argument in a specific passage. Try to indicate where you got lost, and why. Correcting or noting all errors of style or grammar prevents students from taking responsibility for self-editing. Pointing out two or three kinds of error can show the need to focus revision. Keep a record of your suggestions and let students know you expect to see improvements.