The 1st stage is what connects your tank to your regulators. There are two main types: DIN and A-Clamp. DIN screws directly into the tank valve and keeps the O ring secure, allowing it to withstand higher pressures. A-Clamp fits over the tank valve and is much easier to remove when your hands are cold from diving!
If using your own Regulators at a dive center, it is important to remember that the tanks there may have different valves, so you may need to bring an adaptor.