Simple question with a complex answer. If and what needs to be installed depends on the hardware and the distribution. Many common things, like printers, require installing drivers, but the procedure is simple. Some systems include proprietary software and others do not. In short, the answer depends on which OS you want to use.
In a GNU/Linux system drivers are mostly included in the kernel - so it's important to forget the windows-think of heading for the hardware vendor's site to download a driver installation package.
In some cases it is necessary to get a driver from the vendor, for example nvidia and AMD GPUs, but there are also free alternatives to these drivers which will suit most users. It really depends on what you're doing, the device in question and how new the device is.