Yeah, the ethics can get pretty thorny. And the sperm banks are definitely poorly regulated and driven by profit. You need to work out on your own what you think is right, because they will not guide you in that at all.
When my wife and I selected our donor there were three "musts":
1) Canadian-compliant (so we could actually buy the sperm)
2) CMV- (because I was)
3) ID Disclosure (If you've researched adoption, you probably already know all the reasons why it's important for children to have the ability to contact a genetic parent if they desire).
That left us with about 20 donors - none of whom looked anything like DW, so that wasn't a factor we took into consideration. We narrowed those donors down further by eliminating:
1. Any donors who had the same medical problems I do (mostly allergies and very very bad eyesight)
2. Any donors who seemed like they might be unreceptive to a child with lesbian parents
3. Any donors who (and this is going to sound horrible) just didn't seem very smart.
That left us with 7 donors. We eliminated one because he had no reported pregnancies, despite having been available for over a year. Then we contacted our sperm bank (Xytex), and asked for the post-thaw motile sperm counts of our remaining 6 donors (incidentally, they also provided us with personal impressions of all the donors we asked about, which was kind and helpful). We chose our top three donors, and contacted the Canadian broker for Xytex, who only had one of those three available. We bought the two remaining vials and Tah Dah! DS arrived 10 months later.
I think the best advice I was given during the donor selection process is this: the right donor is the donor who gets you pregnant. It doesn't do any good to find the perfect donor if his sperm count is too low to get you pregnant - and there is a lot of anecdotal evidence that a very high post-thaw motile sperm count vastly increases your likelihood of getting pregnant. If the donor you pick isn't working after a few tries, don't be afraid to switch to a new one, because he might be the problem. There are a lot of women out there who tried the same donor over and over for a year - then got pregnant the instant they switched to someone new.
ETA: You might want to do a search for old threads over in Queer Parenting. I know this topic has come up several times over there.