eli,
Depends on what you want to do with it. The 4000 and 8000 stones are for putting a mirror finish.
You don't need this high of a grit to sharpen knives, although they do put a nice finish on a tanto blade.
I have a 250, 1000 and 4000 grit waterstones and use "green compound" from Lee Valley for putting on a final finish (mainly for my wood chisels).
DL