Answering the questions below will help you figure out which system might be a good fit for you.
Will you use existing in-wall wiring, or install new wiring?
More and more homes these days are pre-wired with multi-room systems in mind. For example, some offer multiple runs of CAT-5 cable, to accommodate both your computer network and a multi-room system. Some homes also include runs of speaker wire to power multi-room speakers.
If your home doesn't have the right in-wall cabling, or doesn't have it installed in the right locations, you'll need to install new wire.
How many rooms do you want music in?
Some multi-room systems send music to just two or three rooms total, while others expand to accommodate 12 or more, depending on how you configure your system. As you shop, think about how many listening rooms you'd like, and also how you'll listen in each room. For example, you might choose different components for background listening in your kitchen then you would for dedicated music listening in your den.
How much control do you want in your remote rooms?
You'll have a range of control options from most pre-matched and conventional systems — everything from simply controlling the volume, to switching sources and songs. Most pre-matched systems include a controller in each room where you have music.
In-wall speakers are cool. The cables, speakers, and even controllers are installed in your walls and ceiling.
Conventional multi-room systems are sometimes more cost-efficient than pre-matched systems (below), in part because you may be able to use more gear that you already own. In a conventional multi-room system, you'll connect your music sources to a multi-room-capable receiver or a multi-room amplifier that can power speakers in multiple different rooms. A lot of today's home theater receivers fit the bill — multi-room capability, plus plenty of inputs for music sources like DVD/CD changers, satellite radio tuners, and more.
I hope you enjoy them. Let me know how they turn out.
Best of luck!