Manual - Conventional dial or lever style of mechanical thermostat. It doesn’t have many features.
Digital - This has a display screen and is often capable of a variety of useful functions.

The number of terminals on the thermostat that can be used to individually control separate heating functions. Many furnaces that are called two stage heaters will require at least a two stage thermostat to operate appropriately. You may also choose a multiple stage thermostat when pairing different heating equipment. Such as a heat pump and a furnace.

The number of terminals on the thermostat that can be used to individually control separate cooling functions. Some of the higher efficiency air conditioners and heat pumps are designed to use multiple stages of cooling.

Indicates if the thermostat operates electrically on batteries or power from the furnace/air handler.

Indicates that this thermostat can be used with either a gas furnace or oil furnace.

Indicates that this thermostat is compatible with electric furnaces or air handlers with electric heater coils. The voltage to the thermostat will be the normal 24 VAC. This feature is different from a "Line Voltage Capable" thermostat which operates with 120 to 240 VAC.

Will operate on 120 volts A/C or 240 volts A/C as indicated for that model. Electric baseboard and specialty heaters often require a line voltage capable thermostat.

Canadian Standards Association