There are a bunch of different styles of masks and headgear that are approved respirators.  They divide up a number of ways, but the first big division is Tight-Fitting Facepiece and Loose-Fitting Headgear.  The images shown are representative of products in each category and have been pulled from the web pages of some of the major manufacturers in the respiratory protection business.  I was simply looking for some illustrative examples and no endorsement or recommendation is implied or stated.

Tight-fitting masks
These are the type you are most likely to use.  They press against your face or head to form an airtight seal.  There are 3 main types.  One key fact is that you cannot wear a tight-fitting facepiece if you have facial hair that interferes with the seal.  Some moustaches and goatees will work, depending on how large they are, but the only way to be sure is to try out the mask you are considering.  Studies have been done that show that even one or two days growth can interefere with getting a proper seal on a tight-fitting facepiece, so be aware of this.  Have a beard and don't want to shave it?  Your only real option is loose-fitting headgear which is usually substantially more costly.
 

Filtering Facepieces:  These are really a catagory unto themselves, but I included it here for simplicity.  These are the common disposable respirators that are often called "paper" or "cloth" masks.  They are usually cup-shaped and have one or two elastic straps to secure the mask to the wearer's face.  Many manufacturers make models of these masks with an exhalation valve.  The valves helps get the hot, humid air that you exhale, out of the mask quickly to keep you cooler, but (of course) they cost more.  The approval classification is required to be printed on the mask somewhere.  These are usually either Dust/Mist (old 30CFR11) or N95 (new 42CFR84 regulations), but there are some others that you will not be likely to encounter.  These type masks are particulate only (no G&V).  [Negative pressure only.]

Half-facepiece (usually called halfmasks):  These are the typical rubber-molded facepieces that cover your nose and mouth and usually have replaceable particulate filters and/or G&V cartridges.  These can be used against particulate, G&V, or both hazards, depending on the filters and cartridges installed.  [Negative pressure, and potentially supplied air/positive pressure.]

 

Full-Facepiece:  These masks cover your entire face (eyes, nose, mouth).  They seal around the perimeter of your face and have a large clear lens to see through.  Cannot be used with conventional prescription eyeglasses as the bows of the glasses break the seal.  Special spectacle kits are available to solve that problem by providing a frame that is completely inside the mask.  Otherwise, these are set up and used much the same as halfmasks, often with the same cartridges and filters (within the same brands).  The lens is usually rated for impact protection.  Firefighters use fullface masks with air tanks on their backs as the most extreme example of use conditions for fullface masks.  Expect fullface masks to cost a lot more than halfmasks.  [Negative pressure, and potentially supplied air/positive pressure.]

 
 

Hoods:  A soft hood with a clear lens.  The hood is often Tyvek or something similar and the lens is a paper-thin acetate or polyester film.  Does not provide any impact protection.  Often used by commercial spray painters in conjunction with a Tyvek "bunny suit" to keep overspray off of their clothes and skin.  [These are only run from an external air source: either a compressed air line or a PAPR (Powered Air-Purifying Respirator = battery pack and blower).]

 

Helmets:  Typically a hard helmet with a hard, clear, faceshield.  The faceshield is usually impact rated and the helmet may also be impact certified as a Hard Hat.  Often can be adapted with welding lenses and sandblasting shields for serious industrial use.  Helmets usually seal around the neck and face with an elastic-cuffed fabric (often Tyvek), via thin rubber flaps, or some similar technique.  (I could only find one good picture.) [These are also supplied via external air source, same as hoods.]

 
 

Negative Pressure:  Your lungs move the air through the filter/cartridge.  The most common type of respirator and the lowest cost (anywhere from $0.50 for a filtering facepiece mask to $7-20 for a typical halfmask to $150-400 or more for a fullface).

Positive Pressure systems:  These systems all supply extra air so that the pressure inside the facepiece or headgear is higher than atmospheric.  This helps to keep contaminants out as any leakage will blow out of the mask, not in.
 

Powered Air-Purifying Respirator (PAPR):  A power source, usually a rechargeable battery, drives a motor/blower that pulls or pushes air through a particulate filter and/or G&V cartridge to clean it for breathing.  These come in many forms from units where the battery and blower are belt-mounted, to systems that are partially contained in a helmet.  I am not aware of any approved powered systems that are totally contained in the helmet (the batteries weigh too much, I guess).  These systems can run anywhere from around $400 to over $1000 and you often have to buy each piece separately (battery, motor/blower, hood or helmet), which can make them rather complicated.  The constant flow of air can be quite nice too as it keeps you a lot cooler than a negative pressure mask.
Left: A belt mounted unit alone.  Rt: A belt mounted unit hooked to a fullface. Supplied Air:  An air compressor supplies clean air to the wearer through long hoses.  The air is typically brought in from outside the contaminated area and is not necessarily filtered.  You must be cautious in thinking you can hook up any old compressor to work as an SA source as you may be putting yourself at risk by not actually breathing clean air.  One obvious example is if your compressor is gasoline driven, the exhaust from the engine can get sucked into the compressor intake and you can end up poisoning yourself with Carbon Monoxide (CO).  The same thing can happen with conventional electric-driven oiled compressors if they begin to overheat and burn oil.  The only way to be safe is to either monitor the air in the airline for CO or install a scrubber on the airline that removes CO and other potential hazards.  There is also often dirt, bits of solder, flakes of corrosion from the pipes, oil, and other crud in an airline, so a filter is essential.  The bare minimum for a breathable airline is a moisture separator, an inline filter, and periodic testing (mainly for CO).  Very popular with spray painters as they already have a clean airline handy.  Just make sure the air is safe first!  Systems can run from a few hundred dollars and up, not counting the compressor.  Again, you often have to buy components separately and the cooling airflow is nice.  
Self-Contained Breathing Apparatus (SCBA):  Actually a subset of Supplied Air, but the air is supplied via a high-pressure air tank worn on the back.  This is what you see Firefighters and HAZMAT teams wearing.  I just threw it in for kicks, and to be complete (hey, I can't help that I'm an engineer...).  Systems run anywhere from $1000-4000 and up.  Probably overkill for the hobbyist woodworker, don't you think? :-)

After reading this far, you should have a much better idea of what is available and how those products are used than the average woodworker does.  Now you come to the point where you need to decide what to get and use for yourself.  You need to start by assessing the hazards in your shop environment.  If you are a typical hobbyist, this pretty much limits you to wood dust (particulates) and organic vapors from solvents and finishes (G&V), but as separate hazards, not combined.  If you are lucky enough to have spray equipment, then you may also have paint spray issues.
 

• For spray finishing, the most common choice is similar to G&V as you will probably end up with a rubber halfmask with stacked filters, usually special "paint spray" particulate filters that resist clogging with a standard OV cartridge.  A conventional particulate filter will also work but will clog a lot faster than a paint spray filter if you do a lot of spraying.

• One other special case is the issue of face and eye protection along with respiratory protection.  This is most commonly an issue for wood turners that are always standing in the line of fire of the chips and shavings they generate, but can also apply to other woodworkers.  This is a case where it can be a real good idea to take a crowbar to the wallet and spend for a PAPR system with an integrated faceshield.  Wearing a negative pressure mask under a standard grinding shield will almost certainly cause fogging of the faceshield and will make you inclined to remove either the faceshield or the mask.  Either way it's a bad idea as turning generates a lot of dust and it is very hard to adequately catch it with a dust collector due to the nature of the machine and workpiece.  Couple that with the fact that turners often work on exotic woods or, on occasions, spalted woods which contain fungal spores, and it is a good idea to spend the extra bucks to be safe, especially if you do a lot of turning.

There is one final important factor in choosing a respirator: Fit.  The mask must be sized and shaped properly to fit your face and give you an air-tight seal.  You will need to follow the manufacturer's instructions included in each mask as to the proper procedure to fit their mask to you.  Try to pick a mask that not only fits you properly, but that is reasonably comfortable to wear, too.  A mask that has pressure points will annoy you and discourage you from wearing it.  There are many manufacturers and all of their products are designed a little differently, so if the mask you are wearing is not comfortable, then try another size and/or another brand.  Sometimes you can get an air-tight fit with more than one size of a manufacturer's respirator, but one will be a lot more comfortable than the others.  Pressure points typically appear on either the nose (very common) or the chin (less common), so pay attention to those areas the most when trying out a mask.

The issue of fit is very important as it is common for a wearer to be exposed to much more of the contaminant through leakage around the mask and through not wearing the mask for brief times than through what actually gets through the filter.  It is less important the exact class of filter you choose than it is that you properly fit the mask and WEAR IT!  If you wear your mask for 8 hours in a contaminated area but remove if for 5 minutes to talk, you will breathe in several times as much dust in that 5 minutes as you would in the remaining 7:55 that you wore the mask, no matter what the filtration efficiency of the mask or filter is.

I hope this has been of some value to the hobbyist woodworker and welcome any questions you might have.  I realize that this is a lengthy piece on the topic, but even that has really only scratched the surface.  I have tried to help inform the hobbyist as to what is out there and where it might apply and hope that you find this valuable.