There are a range of different types of bird feeders available and different species of birds will prefer different feeder types. So if you're looking to attract a specific species of bird to your back yard, you'll want to check what's the best type of feeder for that species. And if you want to attract a variety of different bird species, you'll probably want to invest in several different types of feeders.
Birds like to feel safe when feeding (who doesn't!) so it's also worth considering where you're going to locate your feeder, as this may dictate the type that you choose.
If you have a lot of squirrels in your area, you may also want to think about buying a squirrel proof bird feeder. These have various mechanisms on them, usually triggered by the squirrel's weight, that activate when the squirrel is on them to prevent it getting to the feed. They are also usually more robust in order to withstand the squirrels' attempts to get into them. The best one on the market right now is probably the Brome Squirrel Buster Plus.
Of course, squirrel proof bird feeders come at a price and they are usually more expensive than other feeders but hey! What price happy, well-fed birds? And if money is short buy you're handy at DIY, you can always build your own squirrel proof feeder. I found this video guide on YouTube describing exactly how to do that.
I recently found the IVAS website (ivasltd.com) which has lots more information about backyard birding in general, and squirrel proof bird feeders in particular. It's a great source of information for those new to backyard birding and I highly recommend adding it to your list of birding resources. They have a great review of the Brome Squirrel Buster Plus bird feeder if you're looking for more information about that particular feeder.