I'm considering buying a "helping hand" and this one looks interesting to me. Since I'm pretty new to hobby electronics, my question is what are important things to look for when purchasing such device?
I would say that the most useful part is a strong, heavy base along with interchangeable grips. I have had really good luck with the Panavise series before. They are expensive, but worth every penny.
Most places that I've worked have had these on pretty much any bench that soldering or electronics work would get done. I especially like the circuit board holder vice grip.
You can find a list of their products here: Panavise Products, Inc.
As an owner of the exact device you've linked to (frequently referred to as a Helping Hand), I would recommend you not get that device, especially if you plan to do soldering with it. I had issues with using it to hold the Protoshield for the Arduino. There isn't much weight in the base, and its designed for holding items that are far smaller than most circuit boards. In the end, I found it useless for holding anything but maybe cables for soldering. I think it was originally designed for doing intricate work on very small items, like jewlery.
mjcarroll's recommendations, while they cost far more than a Helping Hand, work far better. So I'd recommend looking at those.
I had one just like the one you linked to, and I would recommend against it. I remember the joints not holding very well, slipping around, flopping, etc. and the base being too small to counterweight pretty much anything.
There are some cool projects on Intructables made of coolant hose or wire that look more promising. You can build actual PCB holders with slots, scope probe holders, etc:
(I wouldn't be surprised if someone is selling these in small quantities somewhere, too.)
I've never used helping hands devices for soldering. Ever. I've always found them to be useless. I've used all kinds of them, including expensive Panavises.
I went a different route. I work on a metal table and have bought some small (1"? 1.5") square rare-earth magnets. I tack the boards down to the table with the magnets and then I'm free to solder away. I primarily work with surface mount devices and find this is perfect for me. When I flip the board over to solder the bottom side, I have some tall rare earth magnets that I use.