You only need to worry about holding torque if you think there's going to be a significant external force working against your motor when it's at rest. The holding torque needs to be higher than the strongest force you think it'll have to oppose in this way.
Generally speaking, you should calculate how much torque will be required to actuate the joint in the worst case scenario, and then add a bit of extra torque to give yourself some room for unforeseen factors.
Other parameters to pay attention to:
Step angle - Most bipolar stepper motors have a 1.8 degree step angle, which is then further reduced by the gearbox. So a 1.8 degree stepper motor with a 100:1 gearbox would have a 0.018 degree step angle. However, just by having a gearbox, you introduce backlash error (error caused due to the space between gears in the gearbox) of 1 to 3 degrees. Luckily this error is non-cumulative, so it doesn't get worse over time. If 1 to 3 degrees of error is too much for your application, you may want to consider getting a stepper without a gearbox. Some steppers also have a 0.9 degree step angle to improve precision.
Voltage - Stepper motors are controlled using constant current drivers, and that driver needs a certain size of power supply in order to run certain motors. Make sure that your system is capable of providing the appropriate amount of voltage to your controller. For example, our stepper controller requires a 12V DC power supply for most steppers, but 24V for some of the largest ones.
Weight - Obviously weight is an important factor in robotic applications.