This is great summary on the features selection:
http://files.meetup.com/1225993/Deng_12_12_11_BARUG.pptx.

It’s written by Houtao Deng who wrote Feature Selection via Regularized Trees(RRF).

Here’s brief summary of the presentation:
* Feature Selection Method
– Univariate Filter: Information Gain, Chi-Squared
– Multivariate Filter: CFS, FCBF
– Wrapper Methods: LASSO, SVM-RFE, RF-RFE, RRF

* Feature Selection Methods for Classifiers
– Logistic Regression <- LASSO - Tress <- RRF or RF-RFE - SVM <- SVM-RFE The presentation also listed related R packages.