This weekend I used a number of different primer sealers in my garage. There's a lot of different choices out there - I'm going to be reviewing common ones you can find at Home Depot/Lowes.
Your big difference in primers is going to be oil-based vs water based. The water based has an easier cleanup, but it isn't as effective on stains as oil-based (as reviewed below).
Low-End Water Based:
These will be your Kilz2, Zinsser Primersealer2, etc. They're the cheaper water-based that go for around $13/gallon.
I figured I'd use some for the new drywall in my garage because it was relatively clean, so I didn't think it would be worth spending the couple extra bucks on better stuff. I was wrong. First, these primers are much thinner then the other primers. You don't get great coverage out of them. On wood that I primed with this, it really bled through badly.
What I really didn't like about these primers is their holding power. I put a top coat over the primer a day after priming (although they say you can in an hour). Then the following day I put some tape on the wall, let it sit for 2 hrs, and then pulled it off. I had a bunch of spots where the primer pulled off the new drywall. The topcoat didn't fail, it was the primer. I didn't have this problem with the other primers.
Because of this, I would not recommend using these primers. Spend the $5 more and get the better primer sealers.
High-End Water Based:
I used both Glidden's Gripper and Zinsser's Bulls Eye 1-2-3 (~$18-20/gal). These are the best water-based primers. They work really good on wood and sealing new drywall. I noticed the Gripper went on a little thicker and seemed to cover stains a little better then the Zinsser. So I may be more inclined to get the Gripper over the Zinsser in the future, but both would work well for most projects.
I put both on some 17 yr old non-primed sheetrock though and the dirt came right through. This was an extreme scenario where you have an old, very porous material that is very dirty. I tried using 2 coats of both and neither did much for stainblocking. For this I had to go onto oil-based...
The king for sealing is oil-based. I used both Kilz Original and Kilz Odorless oil-based primers. I've used both for serious stains. In my house I needed to seal the plywood subfloor because of nasty, old pet stains. With the water-based, the stains just leaked through, even after 2 or 3 coats. With 1 coat of the oil-based the stains were locked in.
With my old drywall though, even these oil-based primers had difficulty covering it. In places where I just used 1 coat of the Kilz there's still some "brown" coming through. In other places where I had a coat of the water-based, plus one of the oil-based, there's no stains. So the water-based did help some, but it's nowhere near as good as the oil-based.
As far as the Kilz Original ($15/gal) VS Odorfree ($20/gal), I found the Odorfree to be very white. The Original has a slightly yellowish cue, if that matters to you and you won't be topcoating. If you're going to be using any oil-based inside your home definitely go for the Odorless. It still smells, but nowhere near as bad as the Original. You should have good ventilation with both, but you won't want to be anywhere in your house with the Original. We had to open some windows in the house because of the Kilz fumes coming from the garage.
Oil-Based for small areas
Oil-based can be a pain because you need to use mineral spirits or another solvent to cleanup your tools and anything you get paint splatter on. If you have any small areas, use the aerosol cans. Both Kilz and Zinsser make them. They covered some really bad stains on the old drywall in 1 coat. They also work excellent for sealing knots in wood. I prefer a water-based for priming wood, but it sometimes doesn't work great on knots, so I'll just hit those small areas with the can.