I generally pick feats that mechanically accentuate or improve my character concept, or to address a specific issue that arose during play. For my current character, the eladrin artificer Nith, I selected the Sneak of Shadows multi-class feat for a couple of reasons: my character concept was that of a mystical safecracker; because I was using the playtest material from Dragon and I needed to pick a multiclass feat for the purposes of a paragon path; and finally, because I wanted training in the Thievery skill (its on my class list, but I could take another skill in its place with this feat). This isn't min-maxing in my mind, but I did partially take the feat for purely mechanical purposes.
At second level, I chose Quick Draw because my Initiative rolls were simply abyssmal and I needed some help; also, since I'm an artificer, I switch between implements and weapons constantly, so I needed the help to preserve actions. Again, I took the feat for purely mechanical purposes, but in my mind, it still works with my character concept. My next three feats will likely be weapon proficiency (rapier), a power swap feat (I want to mix it up in melee once in a while), and the Alchemy proficiency from AV. All are chosen for specific mechanical purposes, but they all match up with my character concept.