I think it all depends on how experienced you are with horses, and how old you are. Many times rescues come with a lot of issues, and it can take years to overcome them. Also to consider where you will be keeping your horse. If it is at home you can give lots more one-on-one attention than you can if you have to travel to get to the barn.
You could look at a PMU baby, and they will have fewer emotional issues, BUT...babies can be intimidating because they get big very fast, and do not (generally) have manners, haven't been handled. They may nip, bite, kick, run over, or otherwise injure you. If you are apprehensive, it will make the problem worse.
Also, consider whether or not you have access to a trainer or other person to help you, and bounce ideas off. My trainer is great to bounce ideas off of, and gives me pretty good feedback as to whether they are sound ideas or not.

Good luck finding your horse. As mentioned previously, try not to let your own emotions get in the way of making a good decision. It is all too easy to feel sorry for a horse, but you can't save them all.
There are quite a few people here that have rescue horses, and are doing a fantastic job with them too.

Probably the best advise I can give you is to really think it through, and make sure that it will be a good match for what you want to do.
Have fun!