There are three things you want to look for when picking an item to merchant:

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1)
Value - The more the item is worth, the more it will be able to fluctuate in price. Usually, people merchant items that are fairly expensive. Many items range from 500k to 3 million gp; however, they can get up to 50-75 million gp or higher.
2) Rareness - If an item is rare to get in a drop from a monster or in pvp worlds, it can often raise your chance on being able to merchant it. For example, an Amulet of Fury is a very good item to merchant. Not many players in the game can get a Fury as a drop, they average around 2.2 million gp, and they are used quite frequently so there is a demand for the item.
3) Demand - For an item to be able to increase in price, there has to be a high demand. If you are in a merchanting clan and you all decide to merchant Amulets of Fury, then after you buy many of the amulets out of the market and hold on to them, supply of the amulets goes down, while demand will stay the same or even increase, which is what drives the price up.