There are countless electronics courses or tutorials available - books, video format, on-line and of course in-person (local universities, amateur radio or other hobby organizations). They provide some structure and order to things. Jameco and other electronics companies used to (and probably still do) sell electronics kits that include a breadboard, components and lessons. Unfortunately there's an amount of study involved just to get to a point where you start to see how much you don't know. What many do is have a specific interest in mind - robotics, audio, microcontrollers, amateur radio, RC modelling, etc - then look within those areas to find tutorials or books on the basics. This approach might enable you to have more fun by getting your hands on something sooner.
As far as component selection - you might check electronics books, magazines and other publications. You'll start to see some common parts. Transistors that I see frequently used - 2N3904, 2N2222A, MPF102, 2N3055. Someone here might have a little better list - but usually you'll find these available from places like Jameco at modest cost. As you say, there are thousands to choose from. Mfr's data is aimed at folks who can easily interpret the information - not the hobbyist.