Pretty exciting topic i know But remember, these are what holds your expensive quad together. Generally, there are two "types" you will use..
Phillips head (small + pattern) - these are ok and easy to use. Good for things that get taken apart a lot.
Hex (small hexagon pattern) - these are great for really getting in tight. The down side is, it is easy to strip the hole (especially if you are using the wrong size in imperial or metric), meaning they can get stuck in whatever your screwing them in to, so be careful.
Then you have different materials:
Nylon: good for not much, maybe your flight controller, but expect them to break in your more hard-core crashes.
Zinc: these are your most common type. They are cheap and light, but they are not the strongest.
Steel/other composite (eg titanium): these are your top shelf items and a must-have for the critical things, like securing motors etc
If you really want to get technical, read up on it all online on wiki, and always ask