It depends what you want the domain for, but you should really look at everything.
Personally I look for domains with a reasonable name, some pr, some pages in Google and Yahoo, backlinks in Yahoo, with some pages in wayback that look appropriate for the domain, Alexa rank and MSN pages would be a bonus. I'd also search google for the name to make sure it hadn't been asociated with any scams, or other activity I don't like.
I would look at the google info: data to make sure it wasn't re-directed, then look at a couple of the reported yahoo backlinks to see if they are actually in place. If there are any Google backlinks I'd check them out too, but wouldn't worry too much about Google backlinks because recently thy haven't benn reporting any for most expired domains (even if the links are actually there)