Size
Question: How large is your firm?
Why this Matters:
This is a much more important factor than most retail clients realize. If your funds are held in the name of your broker, which is normally the case, then your funds are at risk if your broker goes bankrupt. It's size and capitalization/solubility are direct factors in determining how likely it is to fold (go under).
Size isn't everything, however. Case in point:
One of the largest retail FX market makers around--RefcoFX Associates LLC--froze client funds for several months and returned a small percentage of client balances due to the bankruptcy of Refco LLC. Which means that you should seek, and in the current environment, demand, that your broker is as regulated as possible, holds funds in your name rather than the its own, and best of all, offers government- or bank-sponsored insurance on client funds. If your funds are not protected from bankruptcy on the part of your broker, what is the point in focusing on making good trades?
Many brokers will claim that Fidelity 14 bonds protect your funds. Look closely here: most firms have these, but to our knowledge they only protect against fraud on the part of your broker. They do not protect clients against bankruptcy on the part of the market maker. RefcoFX (see above) posted F-14 bonds and they did not protect client funds.
As a rule of thumb, multiple layers of protection is best.
If you have a large broker, great.
If you have a large, regulated broker, better.
If you have a large, regulated bank, better.
If you have a large, regulated bank or broker with a bank guarantee on funds, even better.
If you have a large, regulated broker with a government-guarantee on funds, best of all.