For many engineers pressure regulators are a bit of a mystery. I'm not going to tell you how one works, look it up on YouTube.
Here are some tips to look out for in a pressure regulator:
Diaphragm: The bigger the better. Big diaphragms mean more stable control over pressure through a wider range. Larger diaphragms are less sensitive to abrupt changes in flow.
Diaphragm Material: The more flexible the better. Stiff diaphragms such as metallic alloys may be exceptional for temperature and corrosion resistance to certain chemistry but they are not nearly a sensitive and sacrifice precision pressure control.
Over-Specification: Often engineers are nervous about making a poor choice and specify a component in a system that is turbo-overkill. This can cause a jump in component price greater than 10x.
Under-Specification: A $20 Dayton pressure regulator from Grainger is great for an air tool. It can be disassembled by hand with no tools. Don't use this regulator for flammable gas. I'm only saying this because I've seen it done way too many times.
Here are few of my personal favorite:
The AK47: Fairchild 10 Series Exceptional performance to cost ratio.
The Rolls Royce: Swagelok LRS4 You need performance, perfection, and prestige.
The Einstein: Equilibar This thing should win a Nobel Prize in performance.
I've had them all and loved every one.