The truth is, nobody can give meaningful advice until you identify your budget... Like cars, houses, and even food and clothing, if you can only spend $xxx dollars, then you need to ask for advise in that range. Otherwise, you get answers that identify great products, but not ones you can seriously consider.
Pinned blades require drilling large holes that prevent you from doing a lot of the scrollwork you see done on these boards. As someone else said, one important requirement is that the saw be capable of accepting pinless blades and I think that it should be one that does not require a tool to change blades...
Other than that, there are a lot of features that make scroll saws easier to use... like lights, adjustable blowers, built-in vac attachment, foot control, speed control, magnifying lens, blade holders, raisable arm, deeper throat (for larger projects), 2-way right/left tilting, etc.
Sometimes, spending more $$ means getting more features... but sometimes spending more $$ means getting a bare-bones saw that lets you cut larger projects (like the DeWalt 788 that some people love).
That's my 2-cents.
Spence
(DeWalt 788 owner)