There are four basic parts to a knife: the blade, the handle, the bolster, and the tang.
First up, the blade. The blade is usually made of one of four materials: stainless steel, carbon steel, high-carbon steel, or ceramic. Each one comes with its own set of pros and cons: stainless steel knives are inexpensive but can't be sharpened once they've lost their edge; carbon steel knives will stay sharp through lots of wear and tear but they require more than just a rinse and they'll eventually discolor; high carbon steel will stay sharp without discoloring but are a bigger investment; and ceramic knives will stay sharp the longest but they can break easily and aren't flexible (you won't be using this to de-pit an avocado!).
Next, the handle. The handle is usually made of one of four materials as well (wood, plastic, rubber, or metal) and can either be bolted or riveted to the blade or molded around the blade. While you'll probably want to stay away from wood for sanitary reasons, you probably won't decide on a knife based solely on the handle.
After the handle, there's the bolster. This the area of the knife between the blade and the handle. And finally, there's the tang, this is the part of the blade after the bolster that runs into the handle. And while both of these play a factor in price (the longer the tang, the heavier the knife, the pricier it is), it really doesn't matter unless you're doing some heavy duty knifework or practicing to become a butcher.
Next, how to buy the perfect knife for you...