Hi Al - welcome to the fold
You've already decided that you want a smaller lathe, so that part of the process is settled.
It's pretty fair to say that the more you pay for that size of lathe, the better the quality. In my opinion, it is essential to have a hollow headstock spindle that is also threaded to take a chuck - yes, most are threaded, but not all are hollow, which means that removing fittings from the headstock can be a problem if it's not. And a hollow tailstock spindle for the same reason.
Not absolutely essential, but believe me, highly desirable, would be electronic variable speed. Most lathes have variable speed, but some are varied purely by moving the drive belt whilst others are varied electronically - guess which method is a pain, and which is easy. Those that do it electronically then also usually have the ability to move a belt, but that is to give you a different range of variable speeds. It's worth comparing the speed ranges though. At this stage they won't mean much to you, but there are one or two out there who's speed ranges are utterly moronic.
For me, I would prefer flat bed bars, preferably cast. There are lathes with round bed bars too.
Don't get too caught up with the capacity of the lathe. You've already said you want a small one, and some small ones go out of their way to tell you how massive a diameter they can handle. In other words, what is the "swing over bed" which means the height of the centre point above the bed bars? That distance dictates how large a piece of wood it can handle and it's tempting to believe that the larger the better. One particular small lathe (coincidentally one with moronic speed ranges) can handle a diameter of up to 20 inches, but bear in mind its a small lathe, so the chances of the lathe staying in one place whilst 20 inches of solid wood whizzes round dangerously close to your head are nil. A swing over bed of 5 or 6 inches would be far more sensible, giving you a capacity of 10 or 12 inches. That is not to say that just because the capacity is there you have to make full use of it - frankly even 12 inches is pushing it for a small lathe, - what I mean really is don't allow a larger capacity to influence your buying decision for its own sake.
There is a dedicated pen lathe on the market made by Axminster. It really is tiny, but if all you ever want to make is pens, then the reviews are very good indeed. It was reviewed in Woodturning magazine by Walter Hall several months ago, and he may pop along later to give you his opinion.
For myself, I went through this process a few months ago to replace a bigger lathe in a hurry, and I plumped for a Jet 1015vs, for all the reasons above. Axminster's trade range is also very good I believe, and since my purchase I think they have introduced a new model, which may well have been in the running for me if it had been around at the time. There are a good number of lathes out there which in my opinion are cheesy, tacky, and not up to the job. Sip, Fox, and Clarke are three names that spring to mind and if your budget only stretches to one of those, you may be better off holding out for a secondhand better one. They do come up from time to time.
I'll be in trouble now, from all the people who own sips, foxes and clarkes
but I hope that gives you some guidance to consider.