Ultegra and 105 are the two gruppos I'd center my attention on....like sobriquet said, Sora, Tiagra, 105, Ultegra, DA is the lineup in order, bottom to top.
But with Shimano's near constant upgrading of DA componentry, like every year, the "old" DA tech trickles down to Ultegra, 105, etc., so consequently within 2-3 years, Ultegra and 105 are what the gruppo above them were before that. That is, take today's stuff.....2008 gruppos. 105 this year is just about what 2005-6 Ultegra stuff was.....same for Ultegra, for the most part. But Ultegra will never get some of the DA-specific stuff Shimano takes pleasure in creating....like the crank arms and shifter design.
About gears....the speeds that are referred to are the rear cassette gear count, so you have 10 spc, 9 spd, 8 spd....all which are simply a count of the individual gears on the rear cassette. The crank on the front is simply referred to as a double or triple.....and of course, there are the single speed cranks....but they're for another day's discussion.
I've used Ultegra and 105 extensively over the years and have come to my own preferences (and this is just my take on things).......I really prefer Ultegra shifters over 105. The Ultegras just feel, look, and act just a bit better than 105...shorter shift movements, nicer builds, etc.
Between 105 and Ultegra other components.....cassettes, who cares, they all work. Ult. look better sometimes, heck....DA looks better than both the others but the cost is whack!
Hubs...Ultegra's bearings are slightly better sealed than 105, but there are other hubsets worth considering outside Shimano's stuff....like the entry level Mavic Ksyrium wheelsets or Ritchey WCS or Bontrager Race Lites, or others.
Cranks....tossup...price difference between 105 and Ultegra is usually so much that it's cost senseless to get the Ultegra cranks, unless you
must have a matching gruppo. The difference in weight, construction, etc., isn't that much.
Derailleurs....front....who cares. They all do their job, just make sure you get a ft. der. that matches the number of chainrings on your crank....that
does matter. (This is a plcae you can pick up a DA der. for cheap, esp. off ebay. Then you, too, can brag that you have some DA shit on your bike. LOL!) Rear der.......105 is fine, Ultegra is, again, made just a little nicer, better bearings in the pivot points of the der, and the shift and idler wheels have better sealed bearings, at least in one of the wheels, than 105. Again, sometimes you can pick up a DA rear der. for not too much.....and it's so chic to have one.
Where to buy? Here are some places I've purchased from over the years, and all are quite reputable.....Jenson consistently has sales if you have time to wait and watch for parts. Icycles has a lot of NOS stuff, esp. if you're looking for older 8spd stuff. Loose Screws (used to be The Third Hand) has tons of hard-to-find small parts and tools. Great place.
Cambria Bike (I love this place!)
Jenson USA
Colorado Cyclist
IcyclesUSA
Price Point
Loose Screws/The Third Hand
I'd guess you already know about Nashbar and Performance Bikes.....both can be alright, but mostly their prices are trumped by the places above.