The first thing you need to do is to survey the room. This will help you identify which color, patters, trends, and materials that are predominant in the room's decor, and how you would like to enhance that statement. Also keep in mind that ornate and vintage decorative sconces work best in traditional homes whereas the design philosophy less-is-more is more applicable in modern homes. Of course, mixing styles can create a really fun and bohemian look too, as long as you don't take it too far.
The next thing you need to do is to choose the style. If you want something traditional and ornate, you may consider Sheffield sconces, English Tudor sconces, Storybook style or wall chandeliers lighting fixtures. For a more modern touch, look at Art Deco sconces or something with a minimalist approach like those with crusted glass or plates with engravings. Italian-designed lights can go either way - they are often very chic and modern and restrained, but you also find those that are almost over-the-top colorful and ornate.
It is important to consider how the sconces produce the light. Choose those with shaded bulbs and with a minimum wattage of 75 if you plan to use them as major sources of lighting in an area. However, if they are going to be purely decorative pieces, then bulbs with wattage less than 75 will be enough to produce just the right amount of light, but shielded or shaded bulbs are still preferred.
If you are still unsure of the style you want, measure your wall, take a picture of the area and the specific points you want to highlight, then visit a showroom and seek professional help. If the lighting consultant knows the color and fabrics of the furniture and drapes, size and shape of the wall, they can better assist you in the process of deciding on a lighting fixture.
Always take the time to fully examine the fixtures before you go ahead and purchase them. Make sure that the trim, finish, quality, materials, castings, and every detail is of high quality and neatly assembled. Don't forget to double check that the bulbs, shades, and other details fit properly.
Knowing the style of your home, which areas you want to accent and having an idea of the end result will will help you determine the style of wall sconce light to get. Lighting fixtures are usually not decorating items we change frequently, so taking the time to really think things through before investing in one and mounting it on the wall really pays off.