Sleep quality is one of the most important measures of healthy life, especially considering the huge number of sleep-related disorders. Identifying sleep stages using multi-channel recordings like polysomnographic (PSG) signals is an effective way of assessing sleep quality. However, manual sleep stage classification is time-consuming, tedious and highly subjective. To overcome this, automatic sleep classification was proposed, in which pre-processing, feature extraction and classification are the three main steps. Since the classification accuracy is deeply affected by the features selection, in this paper several feature selection methods as well as rank aggregation methods are compared. Feature selection methods are evaluated by three criteria: accuracy, stability and similarity. For classification two different classifiers (k-nearest neighbor and multilayer feedforward neural network) were utilized. Simulation results show that MRMR-MID achieves highest classification performance while Fisher method provides the most stable rankings.