The 9G servos are the Micro's. Their pretty darn small but still powerful for their size. When you pick your servos you need to find out how much weight you will be moving. The more weight the more torque the servo needs. With servos, like any other electronics you buy, you get what you pay for. If you want quality, go for the Futaba and Hi-Techs. But you really don't need to spend a ton on servos.
Analog servos are PWM controlled. The Mega has 14 PWM outputs. But if you get a dedicated servo controller, you can literally run dozens of servos off it.
I prefer to design and build everything from scratch, so my advice would be to start off with a pan and tilt bracket with servos to learn the basics of getting stuff to move and the programming.