The first thing to look for in a rehearsal dinner venue is a place that will comfortably accommodate the number of guests you're expecting. Many rehearsal dinners are held at restaurants, but you can also host them at a private residence or location that's sentimental to the couple of the hour.
The venue should also fit with the style of the dinner -- it wouldn't make sense to have a casual buffet at an upscale country club. Keep in mind that if you host the dinner at a location that doesn't provide tables, chairs or other furnishings, you'll need to rent them. Also, if you host the dinner somewhere other than a restaurant, consider the fact that you'll likely need to have the food catered in. It's nice to have the freedom to do what you wish in this regard, but it does make things a bit pricier, particularly if you have to rent dishes, silverware, glasses, linens and serving pieces, too.
If you're having a hard time finding the perfect place, don't be shy about asking friends and family for help -- they may be able to recommend a great restaurant or picture-perfect location that will complete the evening and make it memorable for everyone!