A 'bin-full' indicator will prevent you ending up with an overflowing basket and a big mess in your workspace.
If you intend to have your shredder on the floor, look for one with a simple vertical mouth that will be best for feeding the paper in. If you plan to place the shredder on your desk, an angled mouth is better.
For extra security, mix your shredded paper with other trash (best is wet or greasy material) before you discard it.