Your first main cryteria will be certain type of material for the clubs, according to it there are such types as irons, woods, hybrids and wedges. The cryteria of functionality is strongly connected with it too, according to it there are also many subcategories like drivers and putters.
Experienced players recommend to build the beginner's set from irons, woods, a driver and a putter, and while choosing all these clubs pay attention on such their characteristics as loft, shaft, sizes fo clubs and their shapes. Make a test drive for every club before making the final choice too.
You can also get not only cheap new golf clubs but also the used ones https://golfclubguru.net/used-amp-pre-owned-iron-sets-for-sale/
, it's a popular practice among many golf players.