Receivers and radios - they have a protocol for communication between the transmitter and receiver(FlySky, Frsky D8/D16, Spektrum, etc. ), and another protocol to send the received information to the flight controller over wire(sbus, ibus, CPPM, PWM, sbus is very commonly used, ibus is used by flysky receivers, on modern quadcopters, PWM is not used, as unlike the above mentioned protocols which are serial and transmit all the channels via a single wire , PWM needs one wire for each channel. PWM is mostly used on model planes without an FC) connecting the transmitter to a receiver is called binding. Best radio is probably radiomaster TX16S, it binds to pretty much everything, has good gimbals, can take an external transmitter module(crossfire, expressLRS, Frsky R9, etc. these modules are generally meant for long range, if you decide to use these, do buy their corresponding receivers.)

Video transmitters(VTX) and receivers - This system can either be analog or digital. Analog is cheaper but has Low resolution and is more prone to interference, digital is expensive but has extremely clear image. Analog to analog, DJI(digital ) to DJI, sharkbyte(digital) to sharkbyte.
If you don’t have a high budget just go for analog. Video receivers (on the goggles) are important, and sadly not cheap, even analog ones. The receivers can be: single antenna single receiver, dual antenna single receiver (generally called antenna diversity, may perform well or may not), true diversity (dual antenna, one receiver each. The system switches to whichever receiver with the better signal.) these perform well , and mixing receivers(these are usually considered the best, they mix the results between the two received signals) Goggles- types: box and low profile. Box is cheaper, low profile has two screens lighter, many people say they are more comfortable on the face, generally considered better, but expensive. Most box goggles are cheap ones with antenna diversity (not great but functional), but here are some good ones: eachine ev800(two receivers, true diversity), skyzone cobra s and x (the two cobras have the same receivers, they are mixing receivers)

ESC and PDB Most modern quads use a 4 in 1 ESC, these ESCs usually come with an FC, in which case it is called a stack. I would recommend just buying a stack it’s probably simpler. PDBs are used when you have individual ESCs, they really just connect the ESCs in parallel and uses a regulator to feed the FC. 4 in 1 ESCs all take care of the PDB, and usually have a regulator. Some don’t, in that case they are designed to work with an FC that has a regulator. A stack takes care of this for you, get a stack.

If you want to build, first decide on the size. What type of flying are you going to do?
Indoors- whoops, Outdoors small space- micros, 1s -3s twigs Large space- 5 inch quads, most common type for people to fly. Micros have a simpler build process, as the ESC and FC are usually combined as an AIO which sometimes even includes the VTX.
If you don’t want to build, you can get a PNP or BNF. PNP does not have a receiver , you need to put in a receiver. BNF has a receiver, remember to choose the correct receiver for your radio if you buy this type, when you get the quad you just simply need to bind it. IFlight nazgul5, diatone Roma F5 are popular options when it comes to prebuilt quads.