yes. they are different, some come with the onboard capability to prgram them, others you have to buy an FTDI module and hook up to them and your computer.
Also, they each feature different things. The Micro/Nano I think are the same except for pin count, but as far as I know, the Pro Mini is the only one NOT with the onboard FTDI. The biggers boards, Uno and others, have more features. The smaller boards you are limited to 8mhz/16mhz, I think the bigger boards go up to 32mhz.
Look at my thread on sequential lights, it's turning out, for me anyway, to be a good learning experience so far for getting started with Arduino.