5'10 138 is slim. Good news: layering will be easy :)
You need to think about the conditions (for temperature ranges you'll be seeing) and features.
Things I've found over time I really like:
1) a hood that can go over a helmet
2) powder skirt
3) pit zips
5) if you ski with a backpack, pockets that aren't impeded by your waist strap
6) a exterior chest pocket for essentials, and iideally another chest pocket(s) inside the zipper or outside flap for sensitive items
you need to decide:
a) do you want an insulated jacket
b) do you want a shell
for many years i did only shells and just layered up, now I take 2 shells and an insulated jacket on every trip.
if you're skiing in Utah or Colorado in non spring trips (ie: < 37 degrees) the benefits of the shell (truly waterproof and thinner) can be outweighed by the simplicity and economy of an insulated jacket.
the issue is now isn't the best time to buy either :) call me stubborn but I buy all my shells/jackets at the end of the previous season, in the spring and stow them until the next year. i don't care about the colors changing
* in march 2015 I bought a mountain hardware $550 shell for $175, end of season sale and a color combo others didn't seem to like (I still own and pack a North Face top of the line, and another mid-line Mt. Hardware, and midline Arcteryx; and have owned but now long trashed another TNF, and Halley Hanesen, and Spyder).
* in may 2009 I bought my first insulated jacket, before that i was all shell all the time, a Bonfire Snowboarding Company jacket. It hit every hot button in the numbered list above and added a music player with headphone jack pass thru :) bought end of season at a ski shop on the hill, 50% off to $175. It's a sweet black and green herringbone jacket, not drab like their current offerings
so, since you can't go top of the line at end of year prices, a decent jacket (hits the major points above like hood, skirt, breathable, chest pocket) is found here $75 less than amazon by buying direct: http://www.mountainhardwear.com/mens-dragons-back-insulated-jacket-1616421.html?cgid=mens-jackets-insulated&dwvar_1616421_variationColor=425#start=2
that's a lot of jacket for $200 and is insulated. unless you'll be doing spring skiing, this with a nice base and mid layer, will do you right. Personally, even though you are thin, i wouldn't get smaller than a size Large - being tight = bad the Mt. Hardware Dragons Back, Large = 35" sleeve with a 42-45" chest. That will leave you room for layers if you want and a balaclava or scarf with it closed around your neck if you're really skiing when it's cold.
good luck! (and no i don't work for Mt. Hardware)
Helmets will be harder to buy sight unseen. I've worn many brands in tests but have settled on Giro for a while but I bought (wait for it) an end of year deal on a sweet air suspension solomon in April 2015, skied with it the last 2 days of our Spring trip to Vail. removable earpads, quick adjust vent, air suspension, great fit. if you can't buy locally, get a seamstress tape measure (flexible cloth one from your local Michaels' store) and measure your head - then know your actual size in inches and CM then buy based on that from a place that allows 0 penalty returns, buy 2 brands and return the one that didn't fit right for you