There are several kinds of modelling glues out there. The first is polystyrene cement-your standard, stereotypical modelling cement. It melts and "welds" the styrene plastic of your average model kit together at the attachment points for a strong bond. For this-less is more. I recommend Testors glue with a long, thin metal applicator. I like to put a drop where it's needed and dab it once or twice with a Q-tip to remove all but what's necessary. Play around with it and you'll quickly get the hang of it. However, it's really only good for binding plastic to plastic. If you want aftermarket accesories such as resin or photoetched metal, you'll need something else.

Enter cyanoacetate (CA) glue. Similar to superglue, it can bind multiple surfaces together. it comes in different thickness and viscosities, so pay attention to which kind you're buying as to how "runny" and quick-to-dry you want it to be. Zap-A-Gap is a popular brand. You can use this for binding resin or metal to plastic.

Then, there's your basic superglue. Krazy Glue, Wonder Glue, whatever, been around since the dinosaurs. It'll do the job, but I prefer one of the above. If you do get some (which I recommend having around the house in general), get Loc-Tite's brand or something that's not those crappy little one-shot tubes you get at the flea market in packs of five.

Lastly, there's PVA (white glue) and other miscellaneous adhesives. These are (in the modelling world) used for very specific things, NOT to build the kit with. PVA for example is good for making terrain and attaching clear parts to plastic with (no fumes to fog it up), as well as some other things. I wouldn't worry about this until you've got a couple of models under your belt and you really know what you're doing by going "outside the lines".