Because I have a lot of wine to store, I look for several things in deciding on a wine rack.
Density: Racks that hold the most bottles in the least amount of space. The picture that Dan (RunningWolf) posted is my favorite style of rack. There is very little wasted space in this style of rack.
Ease of use: Diamond or bin style racks can have high density when full, but they can be a pain in the behind when you want the wine that happens to be at the bottom of the pile. Dan's style is easy to use, you can remove any wine without disturbing others. The downside is that they work best with the size of bottles they're built to hold. Larger bottles won't fit in standard racks.