What to look for:
Down-filled or good poly-fill if you are wearing it over a sweater.
Water-repellent
Dark color to hide winter dirt
A bit over-sized to fit over a sweater or fleece jacket
A waist drawstring is handy to keep some semblance of a shape
Long enough to cover your buns
with a two-way zipper for car/bus sitting ease
A storm flap over the zipper (but be careful with velcro, it can catch and snag scarves)
Hooded
Sleeve cuffs that block wind
Hand-warming (fleece-lined) side-entry pockets
Extra snap/velcro or zipper outer pockets
Inside pocket(s) with zipper or velcro
Madison specific: consider if you will be living within a walk or bus
commute (cold waits!) or will be driving to work. (Or biking, some folks do that year-round Also expect to need two winter coats or jackets, different lengths, weights, or ruggedness etc -- we might wear them from November through April.
Lands' End "Squall" Parkas are great, but check out the reviews to see if there are any problems with the current model. One year they left off the two-way zipper! They regularly have 30 to 40% off. Depending on your size you might luck out at a thrift or consignment store, LE is pretty common around here and people sell them because they are tired of the color before they wear out.