A prototype board to attach to the Arduino can be handy, but you can use the Arduino and a breadboard to start with.
Most sensors need 5V or 3.3V. The Arduino Uno has both voltages (for sensors). Most Arduino boards have 5V and 3.3V but not all of them.
They do all have analog inputs and I2C bus for sensors.
The actuators probably require more current, so you might need a power supply for those.
The Arduino can be connected with many sensors and actuators. Nothing can beat the Arduino at that.
But sure, there are many incompatible sensors and actuators.
On top of the page is a bar, click on "Playground" to see what can be connected to the Arduino.
Also take a look at the Adafruit and Sparkfun sites. They have a selection of components that can be used with the Arduino.