I can tell you that I own a couple of off-brand devices and a blue Yubico "Security Key".
But rather than specifically recommend things I will tell you what I believe you should care about:
1. Does it actually connect to things you authenticate on? If you always authenticate a Mac Book Pro with only USB C ports, then the USB-A Security Key is stupid because it'd need an adaptor. For physical connections if it shows the connector you can feel comfortable, this isn't 4Gbps video it either works or it doesn't. But for stuff like Bluetooth, find somebody who has actually seen the thing you want to use working.
2. For the primary device (if you don't have them identical) be sure how you are going to carry it. Will it go on your key ring, or in your wallet? If you have to carry an extra device and you're someone who has never owned an umbrella for more than a month, that's futile, they're too tiny to rely on getting them back but too expensive to throw away - pick something you won't lose.
3. Robustness. Again for the primary device, the Yubico key I have (USB-A one) has good reputation here, with people leaving them in jeans pockets through a wash or dropping them onto concrete floors without trouble. Others, even from Yubico, vary, you may be super clumsy or not.
Beyond that there are some technical things you could decide you really care about, hardware bugs, but none of them are exactly show stoppers that I've seen. And there are extra features, that Yubico device I own does FIDO2, which means it could be a true password _replacement_ not only a second factor. But I think that feature has even less chance of taking off than WebAuthn itself, so I didn't rate this in choosing the device.