Skates that don't hurt?

I'm an adult and barely know how to skate. I've always just rented skates, and they have always been SO painful. My feet cramp after 10-15 minutes to the point I can't keep standing on them. Every once in awhile I'll luck in to skates I can tolerate, but I have no idea what makes them different.

Now I'm doing learn to hockey skate with the goal of eventually doing learn to play (can you tell I'm about to move to Canada?). I want to get my own skates, but how do I plunk down that kind of cash without knowing if they'll kill my feet? Is this a common thing and I just need to get X feature or brand or size? I already have custom insoles that helped with one pair of rentals but not another. Will I be able to return skates that have been baked? Halp!