Pretty sure there no difference tax wise which exchange you buy from, as far as I am aware. There are tax differences between mutual funds and ETFs but that is a whole other kettle of fish.
As for other ways you could compare. You could think about things such as:
Listing criteria; what criteria is necessary for a company to be able to be listed on that exchange, giving one an idea of how big a company would have to be to be listed.
Trading frequency; how many trades per day are made via that exchange, giving an idea of how much liquidity there is, although one should also take into account the following.
Average order size; how large are the trades which are made, lots of trades doesn't necessarily mean more liquidity for large orders, and vice versa, less large trades.
Real life exchange floor; though these have lost importance or necessity these days.
Focus of the exchange; different exchanges may have different asset classes they prefer.
Although due to regulation, and competition, larger exchanges are usually pretty similar so it likely won't make much difference, may be important with a smaller exchange that you don't recognise.