Part of your answer would be Net Capital worth, regulatory body and if they state that their clients accounts are held in a "segregated" account. With my broker (ACM) I know that they have over CHF 20 million net capital which was the minimum requirement when they applied for their banking license, and that under Swiss law it has to be segregated from client's accounts. Finally, they fall under the FINMA regulations.
So, be carefull when opening with a broker from Panama for example.