Basically do you like the administration policies of the instance. All instances can speak to all other instances, unless instances block each other.
Lemmy isn’t one website, it’s a bunch of websites talking to each other and people choose to moderate in their own manner, and can also choose to stop talking to other websites if they deem them to be a problem.
It’s less obvious when picking between big general ones, but here’s some examples:
beehaw.org: A curated instance with extremely heavy moderation. Leans centre-left.
lemmynsfw.com: It’s in the name - allows NSFW (porn) posts, which other instances tend not to like hosting.
lemmy.dbzer0.com: Primarily focused around Piracy, something other instances wouldn’t be comfortable hosting.
exploding-heads.com: “Free speech” instance (you know what that means)
lemmygrad.ml: Extreme-left instance, labelled as “tankies” by most people.
Then other than that, you have the big general ones such as lemmy.world, lemmy.ml, sh.itjust.works, and so on. Each of those will have their own rules, but tend to be about anything and everything, but it’s still important to learn how they moderate their instances!
Don’t forget though, no matter which instance you pick, you can still interact with all the other instances unless they are blocked (which they are in some cases for various reasons).