As restricted quantum computers become available, research focuses on finding meaningful applications. For example, in quantum machine learning, a special type of quantum circuit called a quantum neural network is one of the most investigated approaches. However, we know little about suitable circuit architectures or important model hyperparameters for a given task. In this work, we apply the functional ANOVA framework to the quantum neural network architectures to analyze which of the quantum machine learning hyperparameters are most influential for their predictive performance. We restrict our study to 7 open-source datasets from the OpenML-CC18 classification benchmark, which are small enough for simulations on quantum hardware with fewer than 20 qubits. Using this framework, three main levels of importance were identified, confirming expected patterns and revealing new insights. For instance, the learning rate is identified as the most important hyperparameter on all datasets, whereas the particular choice of entangling gates used is found to be the least important on all except for one dataset. In addition to identifying the relevant hyperparameters, for each of them, we also learned data-driven priors based on values that perform well on previously seen datasets, which can then be used to steer hyperparameter optimization processes. We utilize these priors in the hyperparameter optimization method hyperband and show that these improve performance against uniform sampling across all datasets by, on average, 0.53%, up to 6.11%, in cross-validation accuracy. We also demonstrate that such improvements hold on average regardless of the configuration hyperband is run with. Our work introduces new methodologies for studying quantum machine learning models toward quantum model selection in practice. All research code is made publicly available.