Select a harness based on intended use and fit. The waist should fit snugly across the hipbones. Most manufacturers recommend that re-threaded straps have at least a 10cm tail when closed. Check the recommendations for your harness. A good harness should have clear markings to indicate that it has been properly secured. The rise (the distance between the leg loops and waist belt) should also be comfortable.
Whether fitted or adjustable, the leg loops should be snug but not tight. You should just be able to slip a hand between the leg loop and the upper thigh. During regular use, it should not have any pressure points or hot spots around the waist or legs. Take the extra time to insure your harness fits well. If possible, hang in the harness for a few minutes to get a good idea of the fit and feel of the product you're considering.
Some companies have designed harnesses that accommodate women's specific geometry. A women's harness is usually longer in the rise (distance from the leg loops to the waistbelt). They are also designed to fit a proportionally smaller waist and slightly larger leg diameter. The width of the waistbelt is adjusted to prevent it from cutting into the top of the hips or the bottom of the ribcage. MEC carries a selection of women-specific harnesses. As always, it's best to try several to determine the best overall fit.
See the article on Climbing Harnesses for information about the different types available.