Article from About.com with added notes from C & S Iron.

Round-Pen Buyer's Guide  Few training tools can pay off like a round pen. Sure, it may cost you the equivalent of a month or 2 of full-time training and board upfront. But it'll pay for itself in benefits. You can accomplish a high degree of training from the safety of the ground that will easily transfer to under-saddle work. You can gain your horse's focus, instill the fact that you're the "herd boss," and much more.

• Size matters. You can buy a round pen that's anywhere from 30 to 120 feet in diameter. What you'll need depends on what you'll use the pen for. If it's just for longeing, you can opt for a smaller diameter. However, if you'll be long lining, free longeing, breaking young horses, and doing other basic round-pen work, experts suggest a 60-foot-diameter pen. (Tip: Most pre-fab round pens come in panel form, so you can enlarge or shrink the diameter of your pen with relative ease.) C & S Iron note: Our round pens are available in the three most popular sizes: 40' , 50' and 60'. If you need a special diameter let us know, or you can always add more panels at a later time.
  
  

• Strength matters. Will you be working broke horses in the pen? Breaking youngsters? Or even containing the occasional herd of cattle? How you'll use it will determine the degree of strength you'll need. Pipe rails generally range from 1 1/2" to 2" diameter; the larger the diameter, the stronger the panel. And don't let the gauge measurement fool you: As a rule of thumb, the higher the gauge number, the thinner the metal. Most round pens are made from 16 to 20 gauge steel, with 16 being the strongest of those. C & S Iron note: Our round pens come in heavier gauges then other competitors. Our gauges range from 14 to 11 gauge with material options from 1 1/4" to 2". This makes a big difference in strength and longevity of your round pen.
  
  
• Panel pointers. You can generally choose from panels 8' to 16' in length; shorter panels weigh less (a plus), but can make set-up time longer, because of all the connections you'll need to make between each panel. Longer panels weigh more than shorter ones, so are unwieldy, but there are fewer connections to assemble. Panels usually range from 48 to 72 inches in height . Trainers generally prefer taller panels, as the height discourages attempts to escape the pen, and also can help keep the horse's focus inside it. C & S Iron note: Our round pens come in heights from 63" (6 rails high)  to 75" (7 rails high). We suggest and use 10' panel lengths for better strength and to form a better circle. Plus, our round pen packages are very easy to set up. 
  
  

• Solid vs. pipe. Most panels come in pipe form, but solid ones are available. Solid construction reduces the risk of a leg getting caught, and also reduces distractions from outside the pen. This may be for you if you'll primarily be breaking youngsters. Be aware, though, that solid construction can make each panel weigh two to three times that of a pipe one. C & S Iron note: We have found in our experience that the solid panel round pens (especially the slant style) are less safe, because there is more risk of the horse trying to run up and over the side of it, resulting in injury to the animal and/or trainer. Check out any of the top trainers around the world and they are using corral panel type round pens such as ours. Important safety note: We also recommend never to buy round pen panels that have rounded corners on the top of the panel. A horse is more likely to slide down and catch a leg in-between the panels if it rears up onto the top rail. We make all of our round pen panels with square corner tops. And with our safety kit option, the top gap between the panels is eliminated altogether!
  
  

• Material words. Most round pens are constructed from steel or steel alloy. Galvanized steel is likely best for resisting corrosion, but increasing costs are making it less widely available. Rust-resistant paint or baked-on finishes are available, as are panels in natural, metal-colored finish. You can make a choice based on color preference, but any panel type will likely require maintenance. Watch for rust; paint the panel with rust-resistant paint when it appears. C & S Iron note: We build our round pens out of high tensile strength steel tubing. We offer them in both unpainted or painted. More info on our painted and unpainted products.
  
  

• Cost counts. Some budget round pens are available for under $1,000.  As a rule of thumb, though, plan to spend about $1,500 and up for a quality round pen. C & S Iron note: Our "quality" round pens start at $ 850.00.