I have no real experience sailing with an autopilot, but I do have lots of experience servicing them.
First and foremost, redundancy is the best option (as echoed previously). A Vane and an AP would be my choice (and will be my choice when I finally buy my boat). Also mentioned above, go for robust configuration, not "barely within limits". The autopilot will labor less, perform better and last longer. The two brands mentioned are very well suited for sailboats. Personally I prefer Simrad pilots, but I've installed and worked on both and have no negative comments for either. Most failures I've seen can be grouped into one of two main categories: routine wear and water intrusion.
Routine wear can be minimized by keeping things clean and visually inspecting all the moving parts regularly. Water intrusion, too, can be minimized. UV stabilized plastics and silicone seals have improved over the years, but dirt and debris still find their way into seals and joints. Buttons wear to the point of tearing, and there's the tendancy to overtorque screws and crack the mounts (remember, it's plastic!)
If you plan to install it yourself, read the manual entirely first. Call the manufacturer or check their online FAQs if you are unsure of ANYTHING.
Good luck in your decision and fair winds on your crossing.
Not all who wander are lost. - JRR Tolkien