I'm shopping for a new blues harp and I see on a lot of they say, all keys only. What does this mean?
Can't understand why any harp would have 'all keys only' on it. Blues harps come in many keys, and decent blues players will have an armoury of at least half a dozen.
Reason being - blues harp works best using one that is not in the same key as the song. Song's in C - use an F harp. Song's in A - use a D harp. basically, count forward to the fourth note in the song's key. A-B-C(#)- D.
So if you play with a band which plays blues in different keys, you will need those appropriate harps. I used to do a particular open mic, and one guy would keep trying to make his one and only harp fit in every song, till somebody explained where the problem lay. Went out, bought several, can now play along in several keys!
The harmonicas which can be played in any key are those with a push button. But even they won't work as blues harps, unless the song's in G. That's because a lot of chromonicas are basically in C.
There is no "best key", but some of them are more preferable to others, and it all depends on who you are going to play with and which keys they prefer. Another thing that also affects it is which style. It is common to play in second position when you're playing blues, and that means that you are playing in a key one fifth up from the key indicated on the harmonica. So if you have a C harmonica, you will play in G when using second position.
But on the other hand, harmonicas are not very expensive. For your first, I'd recommend a regular C. Then just buy more as you need them. If you want to be serious in jamming with various other people, then you will need quite a few.