The really cheap models have no controls at all other than the on/off switch. You have to monitor the grinding yourself, and turn it off when your grounds are fine enough. This makes your grinding very inconsistent and hard to control. If you are not used to grinding your own beans, you will likely have no clue when to turn it off. Also, there can be friction from the metal blades which will produce heat. This can be enough to change the flavor of your resulting coffee, particularly if you are leaving your beans in the grinder longer for fine grounds. Burr Grinders Here is where the quality machines come in. This type of coffee grinder uses a spinning wheel or burr to truly grind the coffee beans (rather than chopping you get with a blade grinder). The controls on a burr grinder adjust the space between the burrs, so the coarseness of your ground coffee is not based on your own judgment.
Good grinders can offer you 8 or more levels for really precise grinding. Simpler models may only have 3 or 4 settings. Now, within the burr category, there are 2 variations: wheel and conical. Wheel burr grinders have a round grinding surface that spins in order to grind your beans. They are noisy, can vibrate a lot and will clog up if you are grinding very oily coffee beans or beans that have been treated with flavoring. In the burr grinding family, these are the least expensive but are still more costly than the blade grinders. A conical type has a cone-shaped grinding burr that spins a lot slower than the wheel types, so they are less noisy. These types of coffee grinders are also much better at handling oily coffees without getting clogged up. These are the best quality grinders, and they also offer the most control of your final grinding coarseness.
Most burr grinders have a hopper for the beans, and the ground coffee is deposited in another container as it is finished. Some blade grinders also have this design, though the really small ones just keep everything in the same grinding chamber until you're finished. Grinders of either type are usually stand-alone pieces of kitchen equipment, though some of the more sophisticated coffee machines actually have grinders built-in so that you can grind your beans directly into the coffee maker for immediate brewing.
Why bother grinding at all? Overall, pre-ground coffee goes stale in a matter of days, no matter what brand you are buying. Keeping the beans whole until you are ready to use them means a much fresher (and more flavorful) cup of coffee.