If you haven't seen them before, CPF user HKJ has his battery tests for smaller sizes (14500's and others) indexed here:
http://lygte-info.dk/review/batteries2012/CommonSmallIndividualTest UK.html
I'd say there's three main things you should pay attention to:
1.) Fit. Performance doesn't matter if it doesn't fit. Protected 14500's are usually 51-52mm long.
2.) Actual capacity. Protected 14500's seem to average about 50mAh below their rated capacity in HKJ's tests. Models that perform much worse than that, I'd probably pass.
3.) Current capacity. If you're running a higher power light (I'd say 500+ lumens for a 14500 light), compare the measured capacity from HKJ's tests at 2 Amps to that at 0.1 Amps. If those numbers are close, the battery appears to handle the high load well. That should maximize the time your light can maintain peak output.
HKJ and others seem to really like the Keeppower, but they're long enough they don't fit in some lights. I've got an 800 mAh Keeppower that works great in my Thrunite Archer and Armytek Tiara. I got it from illumn.com. I think Battery Junction also carries them.
The Xtar 14500 looks to be one of the better low cost 14500's ($4.50 on their website, lumensdirect.com). It doesn't do as well at high loads as the Keeppower, but it still outperforms the Nitecore or Olight offerings. It's also 1.5mm shorter than the Keeppower 840mAh. Mine seems to be doing fine, but I haven't had it for very long.
Looks like you've already discovered a lot of the *fire brands are of questionable quality.