There are three basic types of thermostats to understand...
Mechanical Thermostats

Mechanical thermostats come in a variety of styles and types and can be used for heat only or for heating and cooling and some models come with multiple stages of heating and cooling.
Mechanical thermostats are usually not able to switch from heating to cooling automatically, this is called an auto changeover while models with a separate set point for heat and cool usually will if set to auto.
Today with the low cost of digital thermostats it no longer makes sense to buy a mechanical thermostat and the fact they many have mercury in them makes it worth while to replace them.
Digital/Electronic Thermostats

Electronic and digital thermostats are much the same thing and have a digital LCD (liquid Crystal Display) temperature and set point display. Some are little more than digital version of a mechanical thermostat but most have additional features and capabilities such as auto changeover.
Digital thermostats are not programmable in most cases and usually support both heating and cooling. They also can be designed for either single stage or multiple stages of heating or cooling. In either case you need to be certain that the thermostat is compatible with your heating and cooling system.
Programmable Thermostats

Programmable thermostats have all the options of their digital sisters above but they allow the user to set a pre-determined timed setting using a built in clock and a little bit of memory. They come in options such as 7 day or 5+2 day as well as 2 and 4 periods.
Each can be programmed to change the temperature set point at a given point in time. The 7 day mode;ls allow each day to be programmed separately while the 5+2 day models are set up for weekday and weekend only. The number of periods determines how often you can set or change a set point at any given time.
For All Thermostats
To ensure proper operation, the thermostat should be mounted on an inside wall as near as possible to the return air grill and about five feet above the floor.
You want to avoid the following locations: Behind doors or in corners, in direct sunlight, where radiant heat from appliances such as a printer or computer might affect control operation, on an outside wall, near any air supply registers or near any outside doors and windows.