There are essentially three main divisions: SMAW (Shielded metal arc = "stick"), GMAW (Gas Metal Arc = i.e. "wire") and GTAW (Gas Tungsten Arc = "Tig" - the old acronym for "tungsten inert gas", but the gas is not always inert, thus the new acronym).
SMAW is the flux coated electrode that is used on a lot of steel applications, but electrodes small enough to do body sheet metal are not at the corner store, and machines that are low enough power to do that have terrible welding charactaristics. Also, you COULD do aluminum that way, but electrodes are very expensive, and quite mickey-mouse (my appologies to the ghost of Walt). Also, to do the different materials, you need an AC-DC power source, not on the low end of the cost range.
GMAW wire feeders are the ones that use the bottles of shielding gas, and are the most common in shops today. You can buy very inexpensive ones that use small wire and can easily do seam welding on body sheet metal, and work on maybe 1/8" on the high end (single pass). A bigger machine will usually turn down quite well, and cost a lot more, but will do a lot more (and better). These are DC only machines if dedicated to steel. If you want to do aluminum with wire, you need a different power source that will do so, and they start to get a bit pricey.
GTAW uses a power source that will generally do SMAW as well, AC and DC, plus superimpose a high frequency, low amp, high volt current on top. However, they seldom will acommodate a wire feeder. You can do EXTREMELY fine work with the "tig" welder (especially one of the new, digital square wave HF units), and control is fantastic, but the rate of deposition is very low (unless you have a monster water cooled torch and big power supply).
As you might now be surmising, no one welding machine will do everything. There are wire feeders that will work well on both steel and aluminum, but count on spending $6 or $7 grand for a good setup.
If you really want to do everything, you pretty much need one set up for steel wire, one for aluminum wire (or one of the fancy units that will do both well) and a separate one for SMAW and GTAW.