Drakoon: Traditionally, the Japanese would use a Blue (Aoto) Stone which is roughly #3000 as last step before going to the polishing stones (the Blue stones would be the final step for the finish of the blade of a Katana). Both natural and man-made (nonparaille) blue stones are available for a reasonable price (but which still isn't cheap), about $55, and the stones are very nice and large. I was told by a japanese wood worker that he actually preferred the non-paraille blue stone as it is made a mixture of different grid sizes between #1000 and #3000. However, before I bought myself a really nice set of some of the best man-made stones, I used a 1000/6000 grid combination and it works perfectly fine and gives a shaving edge no problem.
I guess waterstones are really all about preference: When I was shopping around for a really nice finishing stone I was looking at the Shapton #12000, but decided against it (again on a recommendation), as I was told that the bond was too hard. "Too hard" is of course very relative, but the aim of the japanese made waterstones is to replicate natural stones as closely as possible and to give the man-made stones the same "feel" that the natural stones are famous for. There can be no doubed that the Shapton stones are among the best waterstones on the market (which is unfortunately testified by their price), I just wanted to say that there are alternatives out there (for those interested: I went with the Naniwa Ebi #10000).
For heavy stock removal I use an Ohmura stone, which is about #180 grid and relatively cheap and large. The biggest drawback of the coarse waterstones to me is really the fact that they are a pain to flatten.
Slightly OT and of purely technical nature: Japanese waterstones are not vitrified, they are usually clay or polymer bonded, and it depends on the nature of the clay/polymer how resistent the stone is to prolonged storage in water. However, that is only an issue for very fine grits. Recently a few new stones have appeared that use a ceramic matrix (essentially vitrified), e.g. Bester brand. I seem to recall that Shapton is also using at least partially a ceramic bond in their #12000 stone (which is also why they wear relatively slowly). In that case they should be perfectly fine in water, however, I know that Shapton recommends against doing that.