Unfortunately there is no single dictionary that caters perfectly to the needs of a student learning Mandarin. It is probably necessary to own several dictionaries. There are a few important things to note when considering which dictionary to purchase.

First, does the dictionary use Hanyu Pinyin or some other system to indicate the pronunciation? While Hanyu Pinyin is the general standard you may find some dictionaries in Taiwan that use Zhuyin Fuhao (注音符號; bo po mo fo) or other systems of romanisation. Make sure the dictionary uses a system that your are familiar with.

Traditional characters are the standard in Taiwan. However, only a limited number of dictionaries use traditional characters. Some of the better dictionaries for learners use simplified characters. If you already know traditional characters just take some time to learn some of the common simplifications. There is a lot of overlap between the two character sets so it is not that hard. Some dictionaries that use simplified will have the traditional characters in brackets or in a table. You can also cross reference to a dictionary with traditional characters if you are unsure.

There are some differences in usage and pronunciation between Taiwan and China. Check which country the lexicon is based on or if differences between the two countries are noted in the text. This is not really a big issue, but it is often helpful to know.

The final point is the indexing system. There are two main ways of indexing Chinese characters. The first is based on some combination of radical and stroke number. The other is ordering based on the pronunciation, usually alphabetically by Hanyu Pinyin, but occassionally based on Zhuyin Fuhao.

For the language learner alphabetical indexing by pinyin is the easiest to work with. However, knowledge of indexing by radical or stroke number is also necessary as you don't always know the correct pronunciation of a character.

If your Chinese is at an advanced level or you are doing translation work you might need to consider purchasing specialist dictionaries, in particular a good dictionary of idioms (成語) and technical dictionaries for specialist vocabulary.

Also se the section Chinese language learning materials. Below are some reviews of dictionaries that I own.