Difference Between a GFCI Outlet and GFCI Breaker
For most situations, you can use either a GFCI outlet as the first device on the circuit, or you can install a breaker with a built-in GFCI. The former is generally preferred, since GFCI breakers are quite expensive. For example, an ordinary GE breaker costs ~$5; the GFCI model costs ~$35. To see how one GFCI outlet can be wired to provide protection to multiple outlets downstream check out the wiring diagrams here.
There are cases where you would need a multi-pole GFCI breaker for a pool or hottub application for example. Unfortunately, these are expensive; the cost can range into the hundreds of dollars, depending on what brand of panel box you have. But if you must protect such a circuit (say, for a pool heater), you have no choice.
One more caveat -- GFCI outlets are bulky. You may want to use an oversize box when installing them. On second thought, use large (actually deep) boxes everywhere. You'll thank yourself for it. Incidentally, if you're installing a GFCI to ensure that one specific outlet is protected (such as a bathroom), you don't really have to go to all of the trouble to find the first outlet in the circuit, you could simply find the first outlet in the bathroom, and not GFCI anything upstream of it. But protecting the whole circuit is preferred.
When you install a GFCI, it's a good idea to use the little "ground fault protected" stickers that come with it and mark the outlets downstream of the GFCI. You can figure out which outlets are "downstream", simply by tripping the GFCI with the test button and see which outlets are dead.
To learn additional technical details on how GFCI outlets work and why GFCIs are required click here.