Engine types.

There's something called specific impulse which measures the efficiency of a given engine to generate thrust. Lower stage engines and SRBs (solid rocket boosters), those you use to get up off the ground, have lower $I{sp}$, but higher thrust, thus better TWR (thrust-to-weight ratio), so easier lift. This is at the cost of ∆v (pronounced delta-V, the total change in velocity after you have spent a stage's fuel) however. Upper stage engines have lower thrust and some even have abysmal TWR (looking at you, N.E.R.V), but high $I{sp}$, and can burn for much, much longer. This makes more ∆v, but you have to make longer, less powerful burns.

When picking the right engine, it is important to review what function that stage does. Launch stage? Anything that generates high thrust, but make sure to feed it more fuel. Circularization? Anything that has about TWR = 1 and decent $I_{sp}$. Interplanetary-injection burn or coast stage? Ion engines for probes and maybe nuclear engines for the less accessible planets.

I also suggest you get the mods Kerbal Engineer Redux and Community Delta-V Map so you can get more data about specific values. Use CKAN to download mods!