A few things to research...
Is there water available?
Is there utilities to the property line?
If there is water from a municipal water source how much is the tap fee? I know one where the fee is $25,000+ to connect. Etc..
Same thoughts for sewer and electrical.
Do you need a well? Can you get a permit/permission for a well? How much does the well cost? How long will it take to get the well approved, dug, and producing water?
If you need a septic tank how much will that cost and how hard is it for approval?
Buildability...
Can you build anything on it?
Can you bring in a manufactured house or does it require stick built?
How hard is it to get the permits?
How much does the permits cost? I know one county in California that charges $40,000 for a 1,800 sqft house.
Is the lot in a flood zone? In my county, building in a flood zone requires additional permits, fees, and headaches.
Can you owner builder or do you need a contractor?
Do you have legal access to the lot? Pretty common problem in rural Nevada with lots surrounded by BLM land.
Find out your lot setback requirements and see if you can still build. For my lot, my setback is 20ft on the sides and 40ft on the front and back. In my case, this reduces some of the desirable area to build.
How much is property taxes as a blank lot? What about with a house on it?
You can ask the agent and they might be able to provide you a little information. Never trust them though. You need to contact the city/town (if it's in one), the county, and any other local government agencies that regulate land, house, or things related to that yourself and get direct answers. You can do this either before making an offer or during escrow but never wait until you already closed.