Before I get started, do me a quick favor: go right now and grab your helmet. Take a quick look at the inside. You looking now? Ok?
Ok. If it doesn't have a sticker either with this logo...
...or both of these logos...
...throw it the hell away.
Alright, let me take a step back for a moment. It's hard to talk about safety gear without sounding like a bit of a pompous know-it-all, so let me make one thing very clear: I don't have any special training about helmets. I'm not a doctor, nor a scientist, nor a materials engineer. I'm just a guy with a big squishy brain that likes to play roller derby. And I want to make sure that that brain stays all squishy and happy, so when it comes to selecting a helmet, I defer to the experts whose job it is to certify which helmets will best protect my brain from all the bumps and falls I'm likely to take.
Now, there isn't yet an official board that certifies helmets for roller derby, but there are three boards of experts who evaluate helmets for roughly similar sports, and I recommend you take their advice seriously. Hockey helmets are certified by the Hockey Equipment Certification Council, or HECC. Skateboard-style helmets are evaluated by both the Consumer Products Safety Commission (CPSC) and the American Society for Testing and Materials (ASTM). To carry any of those certifications, a helmet model has to be tested by independent labs and meet the requirements specified by the standards organization.
What are these requirements? Well, there are a bunch of them (here are the complete standards for CPSC, HECC , and ASTM F1492), but the most important requirements deal with how the helmet absorbs impact. Basically they put a head-shaped weight in the helmet, drop it on the ground (or otherwise subject it to an impact) and measure how much impact force gets absorbed by the helmet and how much gets transferred to the dummy head. This is important, because if you haven't been following the increasing concern over concussions in other contact sports, brains really don't respond well to being jostled around.
It's impossible to judge whether a particular impact would have caused a concussion with or without a helmet, but the more force a helmet can absorb (and the less transferred to your skull), the better your chances are of sustaining a hit without brain injury. The HECC, CPSC, and ASTM standards judge similar types of impact, at least similar enough that I don't have enough information to recommend either hockey or skateboard helmets over the other. If you go for a skateboard-style helmet, though, make sure it carries both the CPSC and ASTM certifications, as the CPSC standard rates a helmet only on how it protects against a single impact, and most CPSC bicycle helmets recommend you throw them away after a significant bump. That's fine for bicyclists, but derby skaters need a helmet certified for multiple impacts under the ASTM standard as well.
To sell something as a "hockey helmet" or "bicycle helmet" in the United States, it has to meet the requirements set by the HECC or CPSC, respectively. However, you can sell a "skateboard helmet" that carries no certification at all, and I see frighteningly too many derby skaters trusting their brains to helmets that have no standards body behind them. Though they were too diplomatic to name the brand and model, Wicked Skatewear did us the favor of (unofficially) testing how well one of these non-certified helmets protects. I'll spoil it for you: not well.
Roller derby is a contact sport with real risks. I think that the opportunity for athleticism, friendship, and fun times is well worth taking on those risks, but we shouldn't pretend they don't exist. Preventing injury is a complicated subject, but the first and simplest step is to wear effective safety gear every time you hit the track. In my opinion, that should include a helmet that is tested and certified to protect your brain.
As for specific recommendations, I'm a huge fan of the Nutcase Crossover, which is comfortable, comes in a bunch of fun colors, and is certified under the CPSC and ASTM standards. For other skateboard helmets, I know that Pro-Tec and S-One make CPSC/ASTM-certified helmets as well. I don't know hockey helmets well, but the Cascade M11 comes highly recommended by others. These helmets cost a couple of bucks more than the non-certified ones, but the way I see it, there are two different reasons to put down the extra cash on a quality helmet. First, because you're a serious athlete playing a contact sport and you ought to protect yourself, and second, because even the most expensive helmet is a whole lot cheaper than a hospital visit.