If you live in an urban area you may not have access to many Christmas tree farms so you will need to put extra thought into your tree selection process. Keep in mind that trees sold in retail lots that are in urban areas are likely to have come form far away—even states away.
If these trees have traveled a distance, it's likely that they were exposed to winds while in transit, which might have dried them out. There's also a good possibility that they were cut weeks earlier and are not exactly fresh. A good rule of thumb is to get to the lots early so you can get the pick of the litter.
In addition, look for lots that don't allow the trees to be exposed to direct sun light, trees that are shaded are less likely to dry out. And, it doesn't hurt to ask the retailer when the tree shipment was received and when he is expecting a new one.