Water stones are the backbone of the knife world, they turn forged pieces of steel into the razor-sharp implements we all know and love. Think of waterstones like sandpaper: you start with coarser grits to do the heavy grinding, then move to finer grits to polish your edge. Stop when you’ve achieved the desired finish.
Generally, you'll want to start rough, around 220-400 grit. Softer western steels can be finished around 800-1000 grit, whereas Japanese and higher-end knives can be taken to anywhere from 2,000- 10,0000 grit, depending on your desired sharpness, edge retention, and finish.