There's no need to tell you that golf clubs are not all identical. The club faces come in differing sizes and shapes, and the shafts vary in regards to length and material. Any untrained sportsperson can confirm that you need a different set of equipment from the tee box to the green, but did you know that your best buddy's set might not work as well for you? With that said, there are many factors to consider when choosing which golf clubs are best for you.
Firstly, you want to pick golf clubs that fit your form in terms of length, loft, lie, and shaft configuration. If you are new to the game, a good way to sample clubs before buying is to try various models at a driving range or golf store, and also by attending a "demo day" in your area. These are typically one-day events hosted by golf equipment manufacturers like PING, Titleist, Bridgestone, Nike and more. Once you understand such measurements, you can apply that knowledge to future purchases.
Getting "fitted" for clubs is another popular option. Many golf shoes offer this service for free, but certain shops and clubs may charge a varying fee. With a fitting, a golf store or pro shop professional will monitor your swing characteristics and well as your body measurements in order to gauge which equipment is best suited for you. During a fitting, your swing speed will be measured, as this determines which shaft flex and shaft weight best suits your swing.
There are two different types of shaft compositions: graphite and steel. Steel shafts are usually less expensive but may be harder to control if you're a beginner, as they are heavier and harder to swing than graphite. Graphite is a lighter material and shifts under your hands to give you a more accurate swing and control over the ball.
Secondly, shaft flex is how much the shaft bends at the point of impact. To determine the best shaft flex for you, you need to find how far your average distance is. Usually, if it is under 180 yards, you should buy senior flex. If the average is 180 - 225 yards, you'd probably do well with ladies flex - and no, you don't have to be female to use a ladies flex. If you can hit the ball 225-250 yards then you are in the normal flex range. Stiff flex is intended for 250-300 yards. Most people (unless you are a professional) use those four kinds of flex shafts, but if you can hit over 300 yards, then you can use an extra-stiff flex. Swing speed should also be taken into account and those with a faster swing speed are usually best suited for stiff or extra-stiff flex clubs.
Thirdly, consider the kind of surface you'll be doing most of your golfing upon. If you'll be dealing with firmer ground, then look for clubs with low lie or "bounce", while lusher terrains are better served by equipment with higher lie and bounce.
Finally, club heads vary from putters to woods to drivers, but the decision that every potential buyer must make is whether they prefer ones made from steel, titanium or a combination of both. Titanium is the more superior (and expensive) of the two, as it matches the sturdiness of steel yet is noticeably lighter.
The golf club you get is a tool, so it's up to you to learn how to make the most of the gear. Make sure you receive proper tutorage and arm yourself with swing practice aids so you can perform your best.