This question is very, very broad. What organism are you expressing protein in, and is the protein known to be toxic?
If you are working in E. coli, most labs use derivatives of pET vectors (Novagen) for protein over expression, and there are many commercially available cloning systems to choose from. Some vectors can be had for nearly free from the PSI MR (http://psimr.asu.edu/EmptyVectors.html). Next, you would need to know what type of cloning you would like to do (i.e. restriction enzyme cloning, TA cloning, or ligation independent cloning), what type of promoter system you want to use (T7, Pbad, etc), and finally what type of tag you would like on your protein, if at all.