From Chris Arnold at INeedCoffee.com:
How do I Grind My Coffee? What Equipment do I need? What Grind Level? Sounds like hell for the amateur, and heaven for the Coffee Nerd. Mainly because it means one more quantifiable way of measurement, and one more way to spend cash on yet another gadget.
In terms of equipment, you may have to replace that whirley blade grinder you got from the last divorce. The amount you spend depends on what kind of coffee you are making.
Drip Coffee isn’t too demanding, and $50 or so should get a nice grinder. French Press requires a consistently coarse grind, but shouldn’t cost you more than about $100 or so for something that will work nicely for both French Press and Drip. Now if you are doing Espresso, and want to do it right, you will be looking at something in the $250-$400 range. Most of these grinders will also work nicely for Turkish Coffee or Greek Coffee, the finest grind of all.
We are going to mention 7 grind levels to get you started. Sure, there are probably more levels than that in practice, but this will give you visual cues, so you can feel confident you are close. This article uses high quality photographs of ground coffee against a U.S. nickel to visually explain these terms. For those outside the United States, the coin below is 21.21 millimeters in diameter and 1.95 millimeters thick.