Some considerations when buying a radar unit should be:

• The intended purpose of the unit. Will it be for clocking cars or for sports such as baseball? Many of the units will not adequately clock a small object and some won't recognize smaller objects at all. The specialized sports radar units tend to do a better job of clicking softballs and baseballs, while the older X-Band radar units will sometimes do a creditable job too. Just know what you want the unit to do before you buy.
• What band is best? X band is becoming pretty old and was the first radar band authorized for police use back in the 1950's. (There were some very rudimentary units in the 1940's as well) The benefits are a very long range and usually higher power than the other band units. Some could acquire a target 5 or more miles distant. (I've seen this personally when in Florida over straight flat ground.) The negatives are poor target selection and incorrect target acquisition, which stems from the wide radar signal "cone" that emanates from the antenna and the high power. K band is a narrower angle cone and is more discriminatory of targets. It allows for smaller antennas while still giving good range. Ka band is the latest at this time and is becoming the standard for police radar. Very narrow signal angle, lower power, higher frequency, high accuracy, very small antennas and all digital makes this the most accurate radar so far. The downside is it does not have the range of the X and K band units, but legal clocking requires seeing the vehicle, which you can't do 5 miles away.
• Stationary, Moving, Same Lane, Same Direction, Fastest/Slowest Target, or what? How much radar do you need? If you're only interested in clocking vehicles while you're sitting still, you don't need a moving radar unit. A handheld might work fine for this application. Of course, the combination moving/stationary unit combines the advantages of being able to clock vehicles while moving at normal highway speeds as well as when you are stopped. If you need to clock moving vehicles coming at you, while you are moving, then consider a single or dual antenna moving radar unit, depending on whether you need the moving capability of clocking oncoming vehicles from the front, receding vehicles from the rear or both.  Now, if you need to clock vehicles moving in the same direction as you are, then same lane, same direction is a must. Finally, fastest target is great when you have large slower vehicles shadowing smaller faster vehicles, as it allows you to pick out the faster or slower vehicles easily.
• Speaking of moving radar, be aware that some of the older radar units will not allow adequate operation at today's highway speeds. Some have a cutoff where the unit patrol speed will blank at a certain speed, usually 65 MPH or so. Thus if you're on a 75 MPH speed limit highway, you would have to remain at least 10 miles under the speed limit to get a reading on other vehicles, and your own patrol speed as well. We used to call these "city" units and I believe they were designed for city enforcement. However, many units with a "city-highway" switch will also blank at less than 75 MPH so if you plan on using the units on a high speed highway, be sure to ask first.
• Licensing. According to FCC regulations, you do need a FCC license to legally operate radar. A radar unit is a radio frequency transmission device (even though it is microwave) in the eyes of the FCC. Chances are you will never get caught operating it illegally, but if you do, confiscation of your equipment and fines of up to $10,000 could result. 
• Someone recently commented on exemptions for use of radar per FCC Part 15. Here's Section 15 of the FCC rules in PDF format. http://www.fcc.gov/oet/info/rules/part 15/part 15-2-16-06.pdf.  The frequencies of police radar are not covered as exempted or allowed in Part 15 nor are devices exempted in the rules. I don't know whether some of the very low power guns like the Bushnell and similar have any FCC type certs, but every public agency has to list their radar units, including type and number, along with assigned operating frequency on their licenses. Those units are governed under Land Mobile Radiolocation which is Part 90 of the FCC rules. Note that even the latest revision of Part 15, dated 2/06 doesn't allow for speed radar as unlicensed; simply for field disturbance sensors which are primarily backup sensors for trucks and cars as well as collision avoidance sensors. I would venture that perhaps, and I reinforce that word, perhaps, very low power units could possibly fly under the guidelines set by the FCC, but not the police radar units. 
• On December 9, 1996 the FCC stated that all radar units require licensing. Public safety such as police do not need a separate license if they already have a radio communications license. However, others using speed radar such as baseball clubs, transportation companies, schools, railroads, etc do require a FCC license.  If you go to freqofnature.com and search for FCC Radar Transceiver Licensing you can read the entire Public Notice.  
• We just were issued a new license due to a new frequency we are using and it took over 3 months to obtain it. You need to register for an ID with the FCC and use the Universal Licensing Service to apply.
• There is nothing illegal in purchasing or owning radar. Period. Anyone can purchase it, so don't let that be a deterrent to your choosing a good quality radar unit. Whether you personally choose to license it or not is a decision you have to make, and any consequences thereof are strictly yours. Research your own personal needs and usage and be guided by such.  'nuff said on the subject. 
• Finally is the subject of safety. Radar emits microwave radiation. Microwaves pass through the skin to the cells below and can cause damage. The lower power radar guns don't pose a great danger to your safety, but you need to use them with care. Don't sit with a handheld radar gun in your lap when it's on, or have an antenna pointed at your head when it's mounted. In general, remember that all radiation is bad for your body and use the radar safely. The early microwave ovens were called Radar Ranges by Amana who made them. They work on the same principle but with much higher power. Regardless, you wouldn't place yourself in a microwave oven, would you? So be safe with all RF frequency and microwave emission devices.