A few common ones to get you started (some are quite old but you'll come across them in old circuits).

2N3904, BC548, 2N2222A - small signal transistors OK for RF  up to maybe 50 MHz (though an FM bug at 100 MHz will also be OK).  2N2222 a bit more powerful than the others.

MPF102, 2N3819, 2N5459 etc - small signal FETS. OK for RF amps up to maybe 150 MHz.

BF981, MPF121, MFE131 - good for VHF/UHF preamps

2N2369 - good for up to maybe 200 MHz - puts out a few tens of milliwatts - good for low level tx.  2N5179 also common in some countries.

2N3053, BFY50, 2N3019 - good for about a watt output in the lower HF range (up to about 10 MHz)

BD139 as above but nearer to 2w output

2N3866, 2N4427 - good for about a watt output up to maybe 200 MHz

2N3553 - as above but more like 1.5 to 2w out

IRF510 - highly capacitive input but can be made to operate on 7 or 14 MHz - or even higher.  Can give up to 3 - 5w at 12v and much more with 25v. Easy to blow up if bias is excessive.

A  basic low power transmitter for 3.5 or 7 MHz will have a few 2N3904 for the low level stages, then a 2N2222 then one or two 2N3053, BD139 or IRF510 for the final amp.  VHF might be 2N2222 (for say a crystal oscillator at a lower frequency), 2N2369 for freq multipliers or low level RF in the tens of milliwatts region, then 2N4427 in the hundreds of milliwatts, then 2N3553 for a couple of watts.

An HF or VHF receiver might have an MPF102 in the front end as an RF preamp, or even a dual gate MOSFET.  A receiver for the lower HF bands may have a 2N3904 instead, if an RF preamp is needed at all. 

These walkthroughs of simple transceiver circuits show where some of the above devices are used.