I started with a pin-type too and it was a complete waste of time and money.
Here are some tips from an article on Woodcraft...
http://www.woodcraft.com/articles.aspx?articleid=264&page=2
Points To Check On A Scroll Saw
1. Check throat size: if you are going to be doing a lot of work that requires deep cuts, don't buy a 15" or 16" throat saw, but, instead, check first 20" saws.
2. Check motor power: scroll saws are not high amperage or horsepower tools, but they do need enough power to cut through moderately thick, or padded (stacked) stock. Look for at least 1.25 amperes.
3. Check for variable speed. Being able to vary the speed makes many cuts easier to control. Generally, ranges can run from 450 to 1600 or so RPMs.
4. Check for table size and construction. The table needs to be large enough to support the work the throat will accept. This varies widely, but generally the larger table the better. The table should be machined flat.
5. Check for dust blower and dust collection hook-ups. At the least, a dust blower is needed.
6. Check for table tilt. The table needs to tilt 45º to one side, and doing so to both sides is better.
7. Check for ease of blade changes. Tool free is best. A lift-away top arm, as with the DeWalt DW788, is a big help, too, in work where it is necessary to pierce the work often.
8. Check for control location. Up-front is best. You don't want to have to wiggle a hand under the table to change speeds or shut the machine down.
9. Check for vibration. Less is much better.
10. Check for noise. Again, less is better.
Those ten points will give you a scroll saw that does what you want it to do when you want it done.