First, define your goals:

• Do you have a specific academic requirement or specialization?
• Do you wish to explore a particular market or related job opportunities?
• Are you looking for a life enriching experience?
• Do you want to visit exotic places / places you would otherwise not have an opportunity or the inclination to visit?
• When do you want to go on exchange?
• How much time would you like to spend abroad on exchange?
• What is your maximum exchange budget?

Next, research the exchange options:

• What types of courses are available?
  
• What is the reputation of the host institution?
  
• What is the cost of living in that particular city? How will I arrange for sufficient funds?
• What is the climate in the country?
  
• What is the political situation in the country?
  
• Where and what kind of housing is available?
  
• Is it easy to commute to and from the housing area?
  
• Would I be comfortable with the cultural norms of the host university and country?