Nothing kills that Christmas mood quite like a tree with no needles. Run your fingers down a branch before you buy. All needles should stay intact, and your hand should smell like your evergreen of choice. Gentle shaking should also result in very little needle drop. If not, keep looking.
Even with diligent care, cut trees only last about 10 days. Your best bet is to cut your own from a farm or to purchase one from a store or lot that offers trees harvested within days of delivery. High prices don't always guarantee freshness, and rock-bottom tags often yield bad results too.