How fine or coarse you grind depends on your method of brewing. Too coarse of a grind won't allow the greatest flavor extraction, too fine will clog your filter.
Grinders
Burr
Burr grinders grind more evenly and let you set the coarseness. They come electrical or hand-cranked, conical or flat. The conical first break the beans, grind more evenly, and last twice as long, but they are rarer and cost more.
Blade
A blade grinder mashes with a spinning blade, less evenly than the burr grinder, but it’s still much better than buying your coffee already ground.