Well, as much as I like this game, it's burning me out because I'm either

ing horrible at it, or my arena cards suck a**.
Some tips for picking arena cards:
You want cards that are guaranteed to be good at some point in every game. It doesn't have to be good all the time, but it needs to be good in every game -- the last thing you want in the arena is to draw a dead card. You don't want to pick cards that rely on the composition of your deck, since you can't control that (eg. don't pick murloc cards). Cards like molten giant are OK (cost = current hp - 10), since they'll be good at some point, but having one in your hand early can still screw you over a bit. Arena is generally more minion-heavy than constructed, so any minions that have battlecries that buff other minions are usually excellent picks. A card draw or two isn't bad, if there's no other great card to pick. Most weapons are great; as a byproduct, that makes acidic swap ooze (battlecry = destroy opponent's weapon) great (it's still guaranteed to be an OK card, even without the battlecry). When you get down to the last 10-15 picks, you want to start trying to fill in gaps in your hand -- you want to have a good amount of 2-drops (cards that are good to play turn 2), for example. For most cards, especially ones that are only good conditionally, you generally don't want duplicates, unless they're great arena cards to begin with. There's nothing wrong with minions without any text in arena (eg. the 4/5 chillwind yeti is a popular pick in arena). AoE can be a game changer in the minion-heavy arena -- if you're a mage, pick flamestrike, if you're a paladin, pick consecration, etc. Since arena is minion heavy, you generally want cards that maintain board control rather than deal damage directly to the hero -- a battlecry or a spell that deals x damage to the opponent's hero is generally useless in arena. Along those same lines, charge usually isn't that great, although it can still be used for board control if it's low cost or has high health, so it's not terrible. It can be good to have a little bit of card removal, just in case you do see that legendary; although, tbh, legendaries usually aren't that big of game changers -- if you're ahead, they're going to put you a little bit more ahead, but if you're behind, they usually don't save you. In any case, though, it never hurts to have a silence card, or a card like polymorph, hex, assassinate, or shadow word death to take care of them or other powerful minions.
Anyone have anything I neglected to mention?