When shopping for stained glass panels, remember to look at the construction of the lead lines. Cheaper works will have very thin lines on the back or inside of the panel if the construction is foil-based. Remember, the bead of solder between the pieces is what gives the panel part of its strength. There is a balance between something that is too thin (say, less than a 1/4 inch bead) and something that is blobby and unappealing.
Remember to put the panel in an environment at the store similar to what it will be installed at in your home. In other words, if it will get full sun in your home, view it under similar conditions in the store to ensure the lighter colors do not wash out.
When considering the price for a panel, remember that Reds, Purples, and Cranberry colors are typically more expensive to manufacture as they contain expensive elements such as gold. A large number of small pieces requires much more labor to construct. Painting is also likely to drive up a panel's price, as the art of glass painting is being lost, and it is hard to find a good artisan.
Concerns about Lead Poisoning are appropriate if your household has children or women who may be pregnant AND they will handle the panel. Pregnant women and children should not handle lead (this is a good rule for any lead source!), and all people that handle lead should wash the residue off their hands before eating, smoking, or drinking.
Aside from direct contact however, Lead poisoning from a window is rarely a concern. This means that simply enclosing a panel between two sheets of clear glass or locating the panel out of reach mitigates the issue of Lead poisoning. Most building codes actually require that windows with a base within three foot of a floor be covered in tempered glass. More and more cities are adopting energy efficiency rules that make it a good idea to enclose the window in low-e glass. There is another benefit - you won't have to clean it if it is enclosed.