There are so many brands ofits really hard to tell... Usually the more expensive products have better quality control and more stringent mercury protocols, but there always exceptions.
Really what you want with is when you open up the bottle, as counter intuitive as this sounds, is that it almost has no smell. The less smell of either fish oil or rancidness in the bottle means its a higher quality fish oil, as the fish hasn't oxidized. In short, more smell= more oxidation, which is not the best thing.
The main with supplement with fish oil is to get Omega-3 fatty acids into the diet, which are normally not in favorable ratios. Omega-3 fatty acids are converted in the body, among other things, into eicosanoids. Eicosanoids are hormonelike lipids in the body that are responsible for a number of things; blood clotting, inflammation, cholesterol... Because the typical Western Diet is low in Omega-3's, supplementing with these will help regulate health factors that are typically unfavorable because of the Western Diet.
Hope this helps... I'm in a rush right now so if anyone notices anything I missed or mis-stated please correct it... anyways I'm off to class.