As you'll know, the results from direct mail are measurable, so a good direct mail company has good results from previous campaigns. Ask for facts and figures on what they've achieved -- not just work samples to look at.
A big key to good results is in the copywriting, of course. Design / layout is of course also important. Are you looking for copywriting?
I run Wordfruit: a service for people to connect with vetted copywriters. We have a good number of Copywriters who do Direct Mail.