First of all, you want to make certain you get a healthy, happy bird. In general you should look for:

An alert disposition

The bird should be interested in its environment. It should be active. Avoid puffed-up and sleepy-looking birds.

Feathering

Make sure feathering is shiny and without bare patches. On long-tailed species like Macaws, take a good look at the tail. If there are thin lines running across tail feathers, it's usually a good indicator of poor nutrition. Please note that baby birds often look rather tatty, with the feathers somewhat frayed. This is normal. Lutino Cockatiels will have a bald spot, which varies in size behind their crest. This is genetic and cannot be helped. Although do try to avoid cockatiels with extremely large bald patches.

Eyes

The eyes should be bright and clear. There should be no discharge. There should be no swelling.

Nostrils should be clear of any blockages

They should be of the same size and shape. In birds with bare facial patches (Macaws) the skin should be clear and white. A flush of red sometimes indicates an infection of the sinus cavities. A scaly appearance of the cere (fleshy part around nostrils) indicates scaly face (common in Budgies) a disease caused by mites.

Upper and lower parts of the beak (the mandibles) should meet cleanly, with no signs of separation

In Cockatoos, the beak should be grayish, covered with powder. Never buy an older Cockatoo with a shiny black beak; it is a sure indication that something is wrong. Baby Cockatoo beaks will be somewhat shiny.

Feet should have all toes, although a missing toe or claw for a pet isn't a bad thing

It is however, out of the question for a show bird. More than one toe or claw gone will hamper the bird's perching ability. The bird should be able to grip its perch or your hand firmly. The feet of a young bird should be smooth and soft. Older birds have feet, which are scalier. Excessive scaliness is not good, and can be indicative of vitamin A deficiency.

Breathing should be regular and even

No wheezing, snorting or straining should be allowed.

The bird should not be too skinny

To check for this, ask someone to hold the bird while you feel along the sides of its keel (breast) bone. It should be well fleshed out. If you can see the keel protruding, the bird is obviously underweight, and might be suffering some illness.

While the person has the bird, have them turn it over and check the vent area

It should be clean and clear of stains or pasted feces.

Ask to handle the bird yourself

Observe it.

1. Is the bird steady?
2. Is it calm?
3. Does the bird come readily to you?
4. Does it show good socialization behavior?
5. Does it try to bite you?

Look to see if the bird is banded

This is indicative of imported or domestic birds, depending on the type of band used.

Aside from the bands, another way (not so accurate) to tell a baby or younger bird is by looking at its beak and feet

In a young bird, these are soft and smooth. Older birds have scaly feet and beaks that show wear. Also, in some species, the eyes change color as the bird ages. Baby Congo and Timneh Greys have dark eyes, which lighten. Macaws' eyes lighten, too.