Hmm i suppose you want to get a delay pedal, but is not sure exactly what it does?
basically a delay pedal is like an echo that repeats your guitar's sound out of the amp. check out some delay clips on youtube.. delays can have several uses.
The most common way to use a delay pedal is to thicken your guitar solos. when soloing, it leaves a nice trail which helps you stand out in the mix. (listen to some john petrucci for example of great solo delay sound)
Other ways would be to create effects/ ambience like how The Edge does it for U2 stuff. (check out Where The Streets Have No Name by U2)
While getting the pedal itself, a few things to consider would be
1. does it have a tap tempo? if you need your delay to be in sync with the drums and to be easily changed on the fly, a tap tempo is a must. if you leave it on all the time for a thickening effect, you most prob will do fine with just a time knob. its all about what you need in the first place.
2. do you want a darker or brighter sounding delay? digital delays will sound brighter or "cuts" through more than analog delays. but people also love the dark mushy sound of analog delays which are warm and thick. Do a search on digital delays vs analog delays.
That said, if you are unsure of what you want, a good starter will be a boss DD7, imho the best delay for covering all grounds. has a tap tempo and 40sec looper too, as well as both analog and digital delay sounds.