You need one that is within your budget and fits your Arduino and supports the Ethernet standard supported by the router you're planning to connect to. So of course you need to know what type of Ethernet that is. And then you need to know that there is a driver library for that shield that is compatible with your Arduino IDE version and your Arduino board type. And then you need to learn how to use that driver library, and then design, code and test the sketch that uses it to do whatever it is you're trying to do.