Your harness is the crucial the link between you and the rope. A harness is not only designed to keep you connected, it also keeps you upright in a fall, protecting your head and spine, and allows you to hang for long periods without being suffocated - a major danger if you simply tie a rope around your waist, as they used to in the old days!
It is quite possible that you will be more comfortable and achieve a better fit with an opposite sex model.
It's best to purchase a harness from a shop that has a good variety of designs and sizes so you can find one that fits you best. Although you will find both women's and men's models, the only real difference is in the leg to waist ratio and the rise (the connection between the leg and waist). It is quite possible that you will be more comfortable and achieve a better fit with an opposite sex model.
Try on the harness wearing your normal climbing clothes - avoiding jeans with big belts!
The leg loops should be snug but not restrictive when you squat down. Make sure you can slide four fingers down between your leg and the loop, as this should give you room for a pair of trousers and waterproofs. Many harness feature elasticised leg loops, so they fit a broader range of people and still feel snug.
The waist belt should close up so that the padding overlaps (may vary with make) when wearing only a T-shirt. There should be enough tail (the free end of the belt) to allow you to wear a fleece and a thin shell garment. If you wear more layers, the padding does not need to meet, as this is there primarily to stop the harness rubbing on your skin. Make sure the harness sits properly on your body, with not too much tension on the belay loop and leg risers - this can be a problem for some women or if you have a high waist.
Adjustable leg loops?
Non-adjustable leg loops are best for rock climbing because they're low bulk, light and cheaper. But if this style doesn't fit you, then try a model with adjustable leg loops. These are generally more expensive and a little heavier but will allow you to customise the fit to your own dimensions.
Try hanging in the harness. The store should have a sling or rope in place to do this. Place your feet on a chair or wall as if you were abseiling and hang there for a minute. Don't expect complete comfort, but you shouldn't feel any real pain.
Once you've done all of the above just walk around, jump and climb (if they have a little wall). How does the harness feel? A big, thick harness may feel great for 'hanging around' but it must be comfortable generally unless you're going to spend all your time dangling instead of climbing!
If you're on a tight budget, go for a cheap simple harness rather than a cheap complex one.
For most climbing activities you need a minimum of four racking loops. These should be sewn into the right places, neither too far forward so gear slides forward in the way, nor too far back so it's out of reach. Clip some onto the loops and see how accessible they are.
There is no difference in safety between a cheap and expensive harness, only quality of materials and complexity of construction. High quality foam that won't compact down, and webbing that's light yet robust and abrasion resistant costs money. If you're on a tight budget, go for a cheap simple harness rather than a cheap complex one. The simple model will save costs on its simplicity but should still be made from good quality webbing whereas with a more complex model the quality of material will have to be compromised to keep the price down. In the end, pay for what fits you and ignore the price.