I guess it depends on what you're looking for...but if you're looking at horses at auction, try and arrive early so you can take a look around before the bidding begins. I would definitely look at the legs like Gidji said, look for any old scars or deformities...it would help if you were looking breed-specific so you could educate yourself on the breed standard. Personality wise, I'd look for a horse that was at least relatively interested in what was going on, hanging out towards the front of the stall or with its head over the door so it can see whats going on. See if you can touch its face, muzzle, eyes, ears, etc.
I've heard that the face/head shape can indicate temperament also, and at least with my gelding have found it to be very true. This is a link to a couple of sheets you can print out....the truth you choose to take from it is your own, I guess. Temp DOC