I've been scroll sawing for 10+ years. I have an RBI Hawk, 26" throat and I love it. It is one of the good high-end scroll saws. BUT, I started scroll sawing with an entry level Dremel just to find out if I liked this hobby and to help define what I thought was important to have. Though I really like my RBI, anything I can do with it I could do on the Dremel, except for the throat limitations (size of the piece you can spin around on the saw while you are cutting. I think its a matter of "learning the saw that you have and blade selection." So when I got some experience and had a better idea of what I wanted and needed... and I new that I really would continue with the hobby, I bought the saw that I really wanted.
I agree... pinless, variable speed, quick change are important. Also, good lighting on the work piece is important. Magnification is great... but thats an after market add-on. Depending on the type of scroll sawing you want to do, the length of the throat may also be a consideration. Blade selection is also very important. Though you can practice a little with the blades that come with the saw, I'd buy some high quality Olson blades. But the blade selection depends on what you are doing.... and I've done it all. So feel free to email me or start another thread to discuss blade selection based on what you want to do.
Also, the cheap Olson I bought I sold 5 years later for a decent price.