Start with synthetic stones. Jnats and other naturals are a whole nother level of complexity.
What knives are you sharpening?
For Western Stainless (Wustoff, Victorinox, etc), I suggest a coarse (circa 500) to raise a burr and a medium (circa 1k) to remove it. Any finer will risk abrading the soft steel matrix, leaving the carbides standing proud (and not very sharp) on your edge.
For most Japanese and similar knives, you will need a medium stone. Once you can create a clean, deburred edge on a 1k, a fine stone (circa 3-5k) is useful. You will eventually need a coarse stone for thinning.
Any decent brand stone will do the trick. Shapton (great bang for buck but feedback not as good as some), Naniwa (the Chosera/ Pro line is what I use most and gives amongst the best feedback), King (get the hyper if sharpening stainless), Morohei, Nanohone, Imanishi, Suehiro are some examples. Gesshin stones have a lot of hardcore fans and JNS stones are also very good.
The different stone lines have differences in various characteristics such as:
1) The need to soak (vs. "Splash and go"),
2) Feedback (aural and tactile),
3) Cutting speed,
4) Ability to cut high alloy steels,
5) Resistance to loading/ clogging when cutting stainless,
6) Stone hardness,
7) Polishing characteristics (I.e.: kasumi-like finishes),
8) Price,
9) Some stones are not easy to acquire in some parts of the world.
You will also need a device to keep your stones flat. I use the handled version of the Atoma 140 and I can recommend it.
It should be noted that some Shapton stones are coarser than their advertised grit, notably the Pro 1K, which is around 800ish I guess. Naniwa stones tend to be finer than their advertised grit. Multiplying a Naniwa 's grit by 1.3 will give a reasonable approximation of the actual grit.
