It also depends on what you are sharpening. Kitchen knives tend to be fairly thin and if you keep them sharp, they really only need a touch-up now and then. Almost any nice, flat sharpening stone will do for that.
Working knives may need more attention. If you need to work out nicks or other edge problems, you'll need to go at with a rough grit and then get progressively finer.
Axes and other large blades may even need rougher treatment to get them in shape. I sometimes use my axes to tear up a pallet and have hit a nail or two. It will nick the blade and that takes some pretty aggressive grinding to get the edge in shape.
Generally, you'll want to put a thin, fine edge on your kitchen knives. On an axe, you don't want a thin edge, it won't survive the chopping. You can alter the edge in this way by adjusting the angle at which you drag the knife across the stone. Lower for a thinner edge, higher for a thicker edge. I tend to sharpen my working knives with a middle edge, not too thin or the edge will chip, thin enough so that I can still easily peel fruit with them.
I have a set of stones I bought from Razor Edge (the guy that shaves with an axe). They work great and you can really get a dull blade into shape pretty quickly with them.
I also have a split 220/1200 grit wet stone I bought from Lee Valley. It's a little pricey, but it's a nice stone. I rarely use the 220 side. I also have a couple of smaller, hand-held stones that I use for quick touch-ups in the kitchen. I keep our kitchen knives pretty sharp and if they aren't gliding right through a tomato, my wife let's me know. It doesn't take more than a few swipes to return them to a fine edge.
If you have ceramic knives, they mostly have to be sharpened at the factory with special equipment.