One of the first and most important rules of collecting is to understand the concept of "provenance" -- that is, the history of an individual piece or collectible. Provenance can include issues like origin, place of manufacture, and previous owners. For someone interested in serious collecting, provenance is important to understand because it can determine the value (monetary or otherwise) of a collectible, as well as tell the collector information about its rarity.
To start thinking about provenance, we can break it down into two main areas, each with two subdivisions.
1. Licensed Collectible - a) vintage, b) modern
2. Unlicensed Collectible - a) bootleg, b) third-party
Licensed collectibles are items that are produced with permission from the owners of the intellectual property. For example, Hasbro owns the intellectual property to the characters we call the Transformers. Hasbro also happens to produce most of the Transformers toys itself. It owns the license to its own property. Sometimes, though, Hasbro can sell the property to other companies...especially in the cases of collectibles or items that aren't toys (think clothing, bedsheets, party favors, keychains, etc.). Usually, you know you are dealing with a licensed collectible because the packaging indicates the trademark or copyright; it might even have a tag indicating that is officially licensed merchandise. Toys typically have a date stamp, company name, and country of origin somewhere on their body as well. We can break this category into two camps: vintage and modern. "Vintage" loosely refers to the "original" line of toys or anything that is simply old -- stuff that you can't buy new in a Target toy aisle: G1 figures, G2 figures, Beast Wars, etc. "Modern" is the stuff on shelves now, but you might extend it to toys from the last 5-15 years (as a general rule of thumb, modern is anything that a kid today might have picked up new and still play with it). Re-sculpts (new toys based on the vintage characters) would be "modern" rather than vintage, but one can debate whether re-issues (new toys released using original molds) are one or the other (I'd call them "modern").
Unlicensed collectibles are items that are produced without permission from the owners of the intellectual property. These, too, fall into two categories: bootleg and third-party. Bootleg toys typically use recasts or stolen molds of licensed toys, but are almost always made from inferior materials like brittle plastic or translucent plastic (I wouldn't recommend licking them). Recasts also often suffer from "degeneration": features and details might be lost in the process (e.g. blurry or smudged faces, joints molded together so that they lose articulation). Bootlegs occasionally use new molds or sculpts but are obviously trying to pass themselves off as licensed characters. In very rare cases, bootlegs sometimes have additional features missing in the original toys (one famous example was a set of combiners using non-combiner Legends-class figures). Bootlegs can be pretty fun to collect (if chemically hazardous), and those with a taste for such things often hunt for them in dollar stores, outlets, or chains like "Family Dollar" or "Big Lots." For this reason, bootlegs rarely hold much value for collectors. They might be novelty items, and a die-hard bootleg collector might go nuts to hunt down a rare one, but I wouldn't count on them as an investment. The only exception might be the case of a "vintage bootleg"--a kind of hybrid scenario where old unlicensed versions of a vintage toy has become especially notorious and therefore desirable. Bootlegs may or may not try to pass themselves off as licensed products.
In a purely theoretical sense, collectors also differentiate between bootlegs and "third-party" collectibles.
Third-party refers to professional-quality toys made by small independent companies or even individual artists with access to 3D printing technology. Lacking permission from the intellectual property holders, they often change the names of the characters and introduce variations to the character design in an attempt to avoid copyright infringement. Several third-party producers specialize in making accessories to licensed or other unlicensed collectibles, such as more accurate weapons or body parts based on particular likenesses of the character. Many collectors find third-party items to be aesthetically superior to licensed products. They also find third-party items to be more expensive. Often, a complete third-party figure sells for three to six times what the equivalent licensed figure would cost. Also, because third-party collectibles operate outside the confines of licensed toys, they tend to target adult consumers exclusively.
Third-party differs from bootlegs in that they never try to pass themselves off as licensed and they never recast or steal licensed molds. They are new toys, redesigned from start to finish ("stealing" only the "look" of the licensed character).
Third-party collectibles also have curious effects on the "secondary market" -- that is, eBay and vintage toy sellers. Some third party toys attempt to fill gaps in the licensed collection, releasing versions of characters that have not yet been modernized by the license holder. Some attempt to cash in on characters that have extremely high market values on the secondary market (why spend $60 on that rusty old brick-bot with peeling stickers, when you can spend $60 on a shiny new version that looks far more like the cartoon character than the original toy ever did?). These types of collectibles can reduce the monetary value of vintage toys. In the case of Transformers, however, Hasbro has been impressively tolerant of third party companies, perhaps seeing them as a way of keeping interest in the franchise alive.
Questions? Thoughts? Let me know down below!