Skiing is an aerobic activity when you're doing it right. It's also a little messy, a bit of a fashion show, and all take place in some pretty inhospitable conditions. With the right outfit, you might not notice all this quite so much. The key is to be comfortable, which has very different definition for everyone. If that means Ted must be wearing the fashion of the moment, so be it. If Sue just wants to be Not Cold, or Jack needs everything to be black, that's OK too.
The key concept of a good day in the mountain is that you are Not Cold, which is not the same as being Warm. This means that when you step out of the lodge for your first run, you're a bit cool, in both temperature and attitude. As you head up on the lift, you know it's cold, but you're not shivering. By mid-mountain coming down, you're not thinking about the temperature at all, and at the bottom you open your helmet vents, your pit zips, and maybe the top two inches of your jacket zip. As you get back in the queue for the lift or tram, you start to close everything back up to keep the heat in.
For your ski jacket to be an effective part of this system, there are some concepts you'll need to take into account:
Moisture management: At the end of a good run, you are hot, probably a bit sweaty. For most people, sweating inside their clothing is not fun. When you get hot, you want to cool off. When you grab the main zipper on your jacket and open it to dump out the hot air, you lose all the stored heat you had built up, so it must now be replaced. You also expose a lot of damp fabric to cold air, which cools and begins to conduct the heat from your body. One good heat dump can start a cycle where you're trying to warm up, then feel clammy, then get cold. Eventually you just go in the lodge to see what's on the TV, and if that's all you're doing, why travel all that way?
If your clothing system is actively working to move moisture away from your skin and out, you'll have less 'damp' to deal with. Synthetic base layers next to your skin hold less moisture, move it away faster, and insulate better, even when exposed. If your outer shell is designed to allow water vapor through while keeping wind and liquid water out, you're in even better shape.
Wind/weather resistance: Any waterproof material is also windproof, because it won't allow air to pass through. By keeping the wind out as much as possible, you won't lose that precious warm air you've worked so hard to generate. Waterproof is very important when dealing with liquid precipitation, which snow becomes when it lands on you and melts, and so you'll see waterproof/breathable fabrics used in the shells of most ski jackets, pants, and gloves. When snowsports garments are designed, however, they expect that you are not playing in the rain, so not every stitch hole has been sealed up, but instead 'critical seams' are taped so the shoulder, sleeves, and hood will be completely waterproof, but not the entire garment. The breathability of the fabrics will keep you comfortable and reduce the adjustments you'll need to make over the course of the day.
Insulation: Bulky materials are inherently warmer than thinner ones because they insulate better. However, if you are moving much at all, bulky clothing or multiple layers can be very frustrating, and you will get too warm, starting the hot-sweaty-grumpy cycle. Combined with a good base layer to insulate and wick moisture and a midlayer with similar features, the synthetic high loft insulation in your ski jacket will keep you comfortable on the slopes. Remember that it is a ski jacket however, and you might need another layer underneath if all you're doing is 'latte runs.'
Utility: A good ski jacket has pockets for all the little things like mobile phone, chapstick, hat, wallet, sunglasses, goggles, maybe even a water bottle. Better ski jackets will have them arranged so you don't need to search much and won't leave anything behind.
Durability: You're unlikely to shred your jacket when wiping out and sliding down the hill. That being said, skis have sharp metal edges, ski poles have metal tips, and you probably won't be too gentle with your gear after a long day. Check to see that the seams and high-wear areas like hems, cuffs, and pocket edges have been reinforced.
Ski-specific features: When you do wipe out, any gaps in your outer shell will reveal themselves, so before you buy the jacket, make sure it has a powder skirt. When you unzip the jacket on the hanger, you'll see the powder skirt hanging inside the hem, with an elastic bottom edge and snaps to close the front. When used, this will do an excellent job of keeping warm air in and snow out. You can certainly ski in pretty much any kind of jacket, but a powder skirt means it's a ski jacket.
Other distinctive features you'll see on ski jackets: a goggle wipe cloth on a leash inside a forearm pocket; a very thin 'emergency' hood rolled into the collar; a specific metal d-ring or clear pocket to hold your lift ticket/season pass; labels on inside pockets indicating mobile phone, goggles, media player, et cetera; venting zippers on the chest instead of the armpits.
Fit: Freedom of movement will be crucial to a good jacket. Check the clearance with the pit zips, then raise your arms over your head and twist like you're skiing. Try it on with your ski pants to make sure the powder skirt makes good contact and the outfit looks good.
Deciding: In the end, if the jacket has the right features and fit, you will have a better day skiing. If you look good wearing it, it'll be a great day. Don't forget that quality means the jacket will last through next season or beyond, and a jacket you don't need to replace is cheaper than a new one.