Lines come in different profiles. Two common ones are weight forward and double taper. The weight forward casts further because there is less friction in the running line (ie it is thinner). A shooting head is simply a weight forward with a thin running line (perhaps monofilament).
Lines also come in different densities. Which, of course, gives us our floating line and our range of sinking lines. Most sinking lines sink belly first. I find this desirable since we achieve lovely fish-attracting curves in our retrieve. Some sinking lines are 'density compensated', which means that they sink tip first.
Some lines are marketed as being non-stretch. The benefits are dubious.
There are substancial differences between fly-lines of different makes. Price is not necessarily a good indication of quality. If you buy a poor one then take it back and try another make.
The best casting lines are the stiffest and the slickest. The slippier the line the better the shoot (less resistance through the rings).
Casting lines on grass knackers them; use a cheapo. Try to avoid leaving good lines on the back seat of the car; the heat melts them, also try to avoid standing on them and laying them on hot concrete dams.
Sun tan lotion, some floatants and insect repellant all destroy the coating of fly-lines.
I coat my floating lines with a 100% silicone spray. It increases shoot-ability. But look out - some sprays contain chemicals which destroy lines. Read the container!
Sinking lines can be cleaned with luke warm water and washing-up liquid.