There's going to be 3 difficulties; Easy, Normal, and Lunatic when you start. You can also unlock Lunatic + by beating Lunatic.
Lunatic and Lunatic + are extremely unfair and require a lot of RNG to beat, no I am not shitting you it's literally RNG, so I wouldn't recommend doing those modes for fun. You can only beat them with grinding DLC (because you NEED to grind a SHITTON to beat lunatic) after the first few chapters unless you're that one guy who didn't and is absolutely insane. On the other end of the spectrum, Easy is super duper fucking easy, so I would recommend Normal even though Normal itself is pretty easy.
Afterwards, you can pick between Casual and Classic mode. Classic is the perma-death mode, which was a mainstay in all the other fire emblem games, whereas Casual is new and dead characters come back after the chapter. Casual is ridiculously easy, it's really not fun imo. You need to pick classic for the full experience. You can either reset when a character dies or let it happen, but I'm obsessive and won't let anyone die, it's all up to preference.
Other things you should know;
Frederick starts off really good, but he falls off stat-wise later in the game. It's recommended you don't use him unless you're in an emergency or else he will sap the experience from your other units (which he doesnt gain nearly as much of since he's pre-promoted), and ditch him ASAP.
The class change system is very complex. You can change a characters class using a Master Seal or Second Seal. Masters promote them to their better class and reset their level to 1, Second Seals switch them to another base class and reset their level to 1. Thing is, levels are barely anything in this game. You could use a second seal and have it not reduce your stats but reset your level, which can be abused to max stats. Since the level cap is 20 for promoted classes and 30 for unpromoted classes, it's recommended you use Second Seals often to give your character a lot of stats and potential to level. On top of this, any skills your character gets from a class can be used on other classes once learned. It's incredibly useful and is often overlooked by newcomers. I recommend using a guide to see what classes give what skills/stat growths and use that to your advantage.
The children system is also very complex. I think I explained earlier, but every female character exception of a few late-game ones can marry every male character (exception of a few late game ones, again) and they will have a child. The child is gained through an extra chapter called a Paralogue (Not all paralogues are child chapters, but most of them are.). Each child is attached to a mother, so let's say you marry Lissa, she will have a child named Owain. If you marry Olivia on another playthrough, your child will be Inigo, and whoever marries Lissa will get Owain, ect. The only exceptions are Chrom, who always gets Lucina, and Robin, who always gets Morgan. The fathers, however, pass down their stat growths, caps, hair color, most recently gained skill (Mothers also do this), and class sets (AKA, what classes they have access to) to the child. This can make each child character on each persons playthrough incredibly unique. Some people marry for perfect kids, some for their personalized lore, do as you may this is still good information. Each child character can marry each other. (PS, if you're ever interested in getting a kid a skill thats not your most recently learned, just go into the skill menu, unequip the skill you want and reequip it. It's the pro strat.)
Other benefits to marriage? Well, when 2 units are married, they have much better stats when paired up together (pair ups will be explained in the tutorial) and have a higher chance to give a bonus attack to each other or defend each other. It's quite cute, actually, but is also very broken. So broken, in fact, that they nerfed the shit out of it in Fire Emblem Fates. Abuse it to hell and back.
Finally, some characters are better than others and that's just how it is. The children characters all tend to be more useful than the adults, and people like Frederick, Virion, and Stahl are pretty hard to use late game in a serious playthrough without grinding. So, I would recommend you take a look once in a while at whos falling off and consider grinding or revising your team. Some really good characters are Olivia (She starts off terrible, but if you grind her up she will become a speed demon. Swordsmaster will make her a great glass cannon who dodges everything.) and Donnel, a Villager from Paralogue 1, who is shit but if you level him up he will become great very easily due to his skill Aptitude. He can also pass Aptitude on to his kids. Always try to keep married couples on the team together, and have as little singles as possible.
Sorry for the long winded message, this shit is my passion yo.
Also all of the DLC is interesting, fun, and worth it. Buy it if you like the base game. It gives access to all sorts of cool skills, classes, and chapters.
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