Movie Mode
A number of new DSLRs offer video shooting at High Definition (or near High
Definition) quality. Whether that is important to you is a personal decision, but it's becoming a standard feature on many of the most popular entry level DSLRs.
Sensor Size
There are a few different size digital sensors from APS-C, which most consumer DSLRs are, up to what is known as full size sensors. Since this is a guide to your first DSLR I won't go into too much detail on them. There are some advantages to full size sensors, but they are really found in professional or semi-pro cameras in the high end of the price range beyond the scope of this guide.
Sensor Cleaning
One of the side effects of being able to change lenses is that with the lens off, the chance of dust or dirt getting on your digital sensor is greatly increased. They appear as fuzzy spots in your images and can be quite annoying. Luckily most cameras now come with self-cleaning or dust reduction systems for the sensor to minimize dust, or the need to take the camera into the shop for a cleaning.
Lenses
There is no more important accessory to a DSLR than the lens, or choice of lenses. If you are on a very tight budget you may want to stick with the "kit" lens that comes with your camera.
In fact, lenses are so important, if you were thinking about two different priced cameras, I would go for the lesser camera body and instead upgrade the lens. They are just that important to image quality; sharpness and ability to auto focus quickly.