As Mark F mentioned, there is a difference in the quality of glass. Having multiple coatings on the glass helps, too. Something important to consider is the depth or thickness of the filter overall. Keep in mind a circular polarizer is two pieces of glass sandwiched together. The deeper or thicker the overall design, there is a possibility of vignetting - especially on wide angle lenses. After experiencing that myself, I switched to slim ones. Some companies will include specs stating a particular filter has a slim profile.
I had a CP filter I really liked made by Hoya. Initially it received great reviews, but then people began saying the glass fell apart into two pieces. With less than one week remaining on my filter's one-year warranty, it broke apart. Actually I bought two identical Hoya CP filters at the same time. The second one was really loose. Hoya repaired the broken one but not the other. I think it was a Hoya Circular Polarizing HD filter. Later on Hoya came out with the HD2 and HD3. I have no clue whether they improved how the two pieces of glass were held together because I decided to jump ship to a different brand.
A couple good quality brands I own are B+W and Formatt Hitech. I'm sure there are other good brands. These are the ones I have now along with a couple older Hoya CP filters (thank goodness no issues with any of Hoya's older model CP filters).
Something else to consider is what's called the filter factor. When you rotate the glass, it will cause your exposure to change. Some circular polarizers are darker than others. If you are planning to shoot in low light, one that states high transmission doesn't lower the exposure as much. Since the glass is mounted on the lens, your camera will automatically determine the correct exposure with the filter in place. A benefit to a darker CP filter is that it can also act as a neutral density filter in a pinch. That's because of the light loss from the darker glass.