Ski gloves are generally made from leather or a combination of fabric with leather or synthetic leather palms. Leather may require longer break-in and occasional treatment, but it's very durable and molds to your hand over time. Fabric gloves are highly flexible and dry quickly. Gloves with synthetic leather palms are tough and usually less expensive.
Insulation in a ski glove offers much-needed warmth that'll keep you from calling it a day early. Most ski gloves feature synthetic insulation since it will insulate when wet where down won't; if your hands run cold, look for higher-weight insulation. Some gloves have more insulation on the back than the palm, to offer extra warmth without compromising dexterity.
During the winter, a wet glove poses as much danger as cold temperatures. Look for a glove with a waterproof breathable shell or internal membrane like Gore-Tex, eVent, Outdry, or a brand's proprietary technology, and compare waterproof ratings. At the very least, you'll need a glove with a waterproof coating.
The cuffs for ski gloves fall into two categories: gauntlet or undercuff. A gauntlet-style glove slips over the sleeve of your jacket and cinches to keep the elements out. This design can feel bulky to some, so if you want a sleeker fit look for an undercuff glove with a slim profile that fits under your jacket cuff.