As far as the types go, this is a pretty straightforward categorization. Your first type to look into is whether the sconce is for indoor use or outdoor use. If you plan to place the sconce outdoors, it needs to be an outdoor model so that it is rated to withstand the elements. For instance, you should make sure the piece is UL listed for wet or damp areas. Indoor models don't have to take the strain of the elements, so they are made for indoor use.
Another major distinction is whether sconces are armed or flush-mounted. The most common type of sconce light is the armed variety, which has a narrow piece - an arm - holding the light that extends from the wall. A flush-mounted style sits directly against the wall and typically shines upwards, downwards or in both directions. If you have less space or want a more subtle, ambient lighting, choose a flush-mounted style. Armed scones do well if you want a more direct light source.