For EEG feature exctraction one frequently chooses a wavelet family that yields decomposition results, roughly matching the classical EEG bands theta, alpha, beta, and gamma. This can be achieved by analyzing the center frequency of a Mother wavelet and the corresponding pseudo frequencies for the decomposition levels. For the classical bands a good match can be achieved using Dauchbechies' Order three wavelets and the decomposition levels two to five.
For more information look at the Matlab help on 'centfrq()' on this matter.
