The “groupset” usually consists of the crankset, bottom bracket, brakes, shifters, derailleurs, chain and cassette.
None of the components by themselves are that expensive unless you go for the top-of-the-line products that are aimed for the professionals, but you can spend between $350 to $2000 on these parts. The “Big 3” companies that produces the groupsets are:
Each company has it’s own unique features, and their own fans, and reasons to like it and hate it. I’ve use Shimano parts all my life (even on my mountain bikes before I started road cycling) and I see no reasons to switch. But depending on your riding style and experience, you’ll have your own preferences. If you don’t want to go with the Big 3, there are also many other companies that make these components, and they may be a bit cheaper. The higher-end groupsets from these three companies all have a 11-speed cassette, with the mid-end using 10-speeds. The entry-level Shimano even have groupsets for 7-speed (Tourney), 8-speed (Claris) and 9-speed (Sora) drivetrain. When selecting the details of your components, there are a few things to consider:
Standard or compact? Standard road crankset have two chainrings (“double”), the outer have either 52 or 53 teeth, and the inner chainring has 39 teeth. This 53/39t set up is what professional cyclists usually use. Alternatively, many people—especially those who are new to cycling—are switching to a “compact crankset” with 50/34t. The smaller outer chainring means that to get the same speed you’ll have to pedal at a higher cadence, but it’s great if your legs aren’t as strong as the pros, and you don’t have to ride at 40-50km/h all the time. The smaller inner chainring means a lower gear ratio which makes it easier to climb hills. Compact cranksets are slightly lighter, but the difference is small. There is also a 52/36t setup in some products.
“Double” or “triple”? If you think that the 34t chainring is still too big, you can consider choosing a triple crankset, usually with a 50/39/32t set up. (The smallest chainring is called the “granny gear”.) Triple cranks are usually used in the more entry-level groupsets, but even the last generation of Shimano 105 had a triple version for touring bikes. My wife’s road bike has a triple crankset, and on more than one occasion, the extra “granny gear” have been the difference between her riding her bike up a long hill or pushing it.
Cassette gearing. Having decided on the gearing in front, you also need to decide the gearing in the back. Cassette can have “12-23t” set up (i.e. the smallest cog has 12 teeth, and the biggest has 23), depending on the brand and the particular groupset. The most popular that you find on brand-name bikes are 11-25t, 12-28t and 12-26t. A lot of people who are not strong on climbing hills (even some UCI WorldTour professionals) will even use a 12-30t or 12-32t cassette coupled with a compact crankset.
Standard or long cage rear derailleur? If you have a triple crankset, you’ll need a long-cage rear derailleur, which are a few dollars more expensive and a few grams heavier. If you use a double crankset but have a 32t cog on your cassette, you’ll also need a long-cage rear derailleur. Otherwise using a standard short-cage derailleur should suffice. The latest short-cage rear derailleurs from Shimano can use as big as a 30t cog in the cassette.
Which bottom bracket? This is probably decided for you when you chose the frame. Make sure you buy a bottom bracket that is compatible with the frame, otherwise you’ll have to find an adaptor (added weight and cost) or you’ll have to buy another compatible crankset altogether.
Front derailleur mount type? Also decided when you chose the frame. The frame either has a braze-on, or the the derailleur will need to have a clamp of a proper size.
How Long of a Crank Arm? There are three standard lengths: 170mm, 172.5mm and 175mm (although a lot of cyclists think that there should be more lengths.) Usually a store-bought XS- or S-size bikes have 170mm crank arms, M and L have 172.5mm and L and XL have 175mm. That gives you a guide of what crank arm length in case you’re not certain. The conventional wisdom is that if you like to “spin” and ride at a higher cadence, then choose a shorter crank; if you’re a “gear masher” who likes to ride on a higher gear, then choose a longer crank arm.
This page is clearly very much incomplete, with a lot of information missing still. I’m hard at work (i.e. I can’t only write in my free time), so please be patient if you don’t find what you need. You can always put in a comment; whatever I write as a reply may end up permanently on the page.