Not a very in-depth guide, but more of a “cliff notes” kind of answer:
There are many lemmy servers (referred to as instances). These are connected together, so you can view content of one instance, even though your username belongs to a different instance.
Instance admins set their own rules. This includes refusing to federate with other instances for reasons that can be ideological, concern of quality, or anything else really.
It doesn’t really matter that much which instance you join. It mostly boils down to if the instance has a strong ideological lean that you may or may not agree with (such as lemmygrad), whether they allow nsfw content, and overall what kind of rules they enforce. Personally I use feddit.nl for no particular reason other than being popular enough to have a reasonably broad userbase and stability. Some instances also have automated censorship of certain words or phrases.
Note that multiple communities can have the same name, as they’re on different instances. This tends to result in one “main” community as well as a handful of smaller less active ones. When posting or looking for a community, you most likely want to make sure you do so in the larger ones. There’s nothing wrong with being subscribed to several seemingly identical communities.