Also, choose your heels for what you'll be doing that day!  Lots of women are more comfortable in a wider heel if they're going to be walking -- wedges are great for this.  If you'll be sitting down most of the night and your shoes just have to get you from the car to the bar, you can go for the stiletto.

Realize that when you're wearing heels, you should be walking on the balls of your feet, practically on tiptoe.  Don't rely on the heel of the shoe to provide any kind of stability or balance.  To do this, you need strong ankles!  One exercise is to just walk around your house doing everyday stuff, while balanced on the balls of your feet.  You may discover that your balance isn't great either, in addition to having weak ankles.  Both get better with practice, I promise!