Metal conduit comes in several thicknesses. For most interior home installations, EMT (also called thinwall) is strong enough. Outdoors use intermediate metal conduit (IMC) or PVC conduit. PVC is sometimes used indoors too.
Metal conduit may serve as the path for grounding, or local codes may require you to run a green-insulated ground wire. If you use PVC pipe, you definitely need a ground wire, either green-insulated or bare copper. If there is no ground wire, make sure all the metal conduit connections are firm; a loose joint could break the ground path.
A conduit bender, used by professional electricians, is a fairly expensive tool that takes time to master. Unless you are running lots of metal conduit, save time by buying prebent fittings. A coupling joins two pieces of conduit end to end. A sweep makes a slow turn, allowing wires to slide easily. A pulling elbow makes a sharper turn.
Setscrew fittings are commonly used with EMT conduit; they provide joints that are firm but not waterproof. For weathertight joints, use IMC conduit and compression fittings.
Flexible metal conduit
Flexible metal conduit, also called Greenfield, is like armored cable without the wires. It's not cheap, so typically it is used only in places where it would be difficult to run conduit.
When installing a hardwired appliance, such as an electric water heater or cooktop, buy an electrical whip, a section of armored cable with the correct fittings for attachment to that appliance.
Make a drawing of your proposed installation and have a salesperson help you assemble all the parts you need -- conduit, sweeps, elbows, boxes, and clamps. Buy plenty of wire.