Grips are much more than just the rubber keeping your hands off of the cold steel. They are an essential part of a golf club.
Having the correct size of grip is something that most people over look. Having a grip that is too small could make you pull your golf ball, and a grip that is too big could make you push your golf ball. They also sell large grips for those with arthritis to relieve some of the pain you may feel when hitting a golf ball.
Do you only play in the dry weather? Or do you play no matter what. This is a big part of picking the correct grip for you. Some grips are unplayable if they get wet from the rain, and you are left holding on to the club for dear life, where other grips are nearly as sticky in the wet as the dry. A cord grip is a grip that has fabric woven into the grip to produce traction on your hands in the wet, or if you have sweaty hands. The downside of this grip is that it can cause some more friction in your hands.
Some people like the club to feel sticky, and others like it to feel velvety. The other part to consider is the firmness of the grip. Faster swing speeds may prefer a firm grip to prevent torsion, and slower swing speeds may prefer a softer feel. The amount of texture built into the club is something worth exploring with your golf professional or club fitter.