Oh boy! There are so many different kinds of blankets! I see why you are asking!
I'll just touch on a few that I have personal experience with:
Cooler: Usually fleece or wool. For use after a workout in cold weather so that your horse stays somewhat warm even with sweat on his body. Also wicks away sweat so that it will dry on the cooler and not on your horse's body (cooling him). If your horse has steam rising from him, put on a cooler! Can also be used under other blankets for added warmth.
Irish Knit: Usually a cotton or cotton/poly blend. Used as a cooler, but is knit (like grandma's sweaters) so that there's little air holes throughout. I have one, but have never used it, so I can't add much more. =)
Fly Sheet: A tight waffle-weave blanket used to create a barrier between your horse and flies. Most also protect from the sun's UV rays. Similar to his fly mask! Some are even made of material that reflects the sun's heat to keep your horse cooler in the summer.
Sheet: A Blanket with no insulation. Stable Sheet is for use when your horse is in his stall to keep him warm and clean. Or for use at a show between classes for the same purpose. Turnout Sheet is for turnout and is usually made tougher (higher denier) to withstand the elements and pasture mates.
Waterproof/Breathable: Every sheet or blanket that I purchase for turnout use is "Waterproof and Breathable." In dry climates, this is not always necessary, but I live near Seattle! Correct me if I'm wrong, but you probably get a lot of rain in your area too (especially in fall & spring). If a blanket is Waterproof and not Breathable, your horse may sweat (if playing in pasture) and then stay damp under his blanket. Then he'll get stinky and could develop skin problems.
The most important thing about blankets is FIT! All brands fit a little differently and all horses are shaped a little differently. Try your friends' blankets on your horse or ask about your tack shop's return policy for ill-fitting blankets. A blanket that does not match your horse's confirmation could create rubs/sores on his withers, shoulders, hip, etc.
The second most important thing about blankets is cleanliness! I buy two blankets for each season so that I can have one at the cleaner's and have one on my horse! After a while, your horse's blanket will get soiled with manure/dirt from rolling, and sweat or moisture. That's breeding grounds for mold, mildew, and bacteria! Not things you want living in your horse's fur!