Oil pen vaporizers are for use with concentrates or hash oils. While some oil pens also do wax, the majority of units will work best with one or the other. There are some vape pens that will do both oil and wax efficiently and usually all that is needed is a simple cartridge change using the existing battery.
Depending on the cartridge that comes with your vaporizer, it may be limited to a thinner or thicker oil for proper results. This is also the defining factor between a wax and an oil pen. Typically if you are using medicinal marijuana and have access to a dispensary they will carry a thin oil that has been cut with a solution allowing it to vape incredibly well because the liquid is vaporized quickly.
Choosing the right oil pen vaporizer can be fairly simple if you know which concentrates you will be using with the unit. If you are unsure, it is a good idea to go for a vaporizer like the cloud vape which allows for wax and oils. While it might not be the best at both, it does allow you to use a range of oils and waxes cutting out the hassle of having to use two vape pens.
Which ever route you choose to go just be sure you know what type of material you will be working with and the rest will just depend on which features you want in an oil pen.