The big difference between saxophone straps is between stretchy and non-stretchy. The stretchy straps are usually Neotech and feel very comfortable, but necause they're stretchy don't help with stablity and a couple of very good teachers have advised to avoid like a plague. After that I think it depends on what's comfortable for you. Something padded is good. When I first started playing sax I bought a second-hand tenor and used the strap that came with it. It was fairly narrow and had no padding. I bruise very easily. At the time I had my hair razored into the back of my neck and ended up with a row of very dubious looking bruises underneath

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I have a BG padded strap I use for tenor (although it is actually the alto size), but I find I have to pull it so far up for alto I feel as though I'm choking. I use a Lebayle boot-strap style for alto that is less restrictive around the neck. The plus point for the Lebayle is that it is very easy to adjust, the downside is that it can slip if you move about a bit in between playing, so you do have to keep adjusting.
Conclusion: avoid the stretchy streps (Neotech, or BG elastic), after that it's personal preference.
EDIT: Someone who used to teach me used a strap that was more like a leather belt with a buckle and belt-holes for the strap and a metal dog-clip. It looked very cool, I'm not sure how comfortable/practical it was though!