Blade selection is very much a mix of personal preference and application. Flying Dutchman and Olson blades are probably the 2 most popular brands. Each offer a myriad of sizes and tooth configurations that can be confusing to the beginner. A few basic rules of thumb; The smaller the number of the blade, the smaller the actual size of the blade. Smaller blades have a higher TPI count, thus they cut slower, leave a smoother edge and work best in for very intricate cuts and tight turns. Smaller blades are best suited for cutting thinner material. The reverse is true of larger blades.
There are several specialty type blades for cutting metal, puzzles, plastics, etc, but the most popular blades for general scrolling in wood are reverse tooth and skip tooth. Reverse tooth blades produce less tear out on the bottom of the wood. Skip tooth blades clear the kerf much better and are generally preferred for thicker wood and/or man made materials, where heat generation can be an issue. I use several sizes of blades of both brands. I may like an Olson #2/0 reverse tooth blade in one application and an FD/UR #1 in another. I like Olson MS series blades, the #3 MS has been my go-to reverse tooth blade for general fretwork for the past few years. I prefer FD for spiral blades. Each of us develops our own preferences and one really needs to try a few different blades to determine which ones they like best, for the work they are doing.