CFW: Custom Firmware (made by third parties)
MFW: Modified Firmware (not completely custom, but modified OFW. Lighter than the CFW)
OFW: Original Firmware (the one that comes from Sony)
If you want to play downloaded games you got to make sure you buy a console that is on OFW 3.55 (or lower), or a console that already has CFW. If you buy a console that has OFW higher than 3.55 you would have to downgrade it to 3.55 before you can install CFW, and not all consoles are downgradable. You can check which ones can be downgraded online, but it is a fairly technical hardware process.