There isn't really much difference between stages 1 and 2 in terms of textures--stage 1 is obviously a smaller jar, and only contains one food, so it is ideal for introducing foods; stage 2 is a larger jar and gives foods in combination. I usually waited until closer to 6 months to start jarred foods, and even then I only gave my babies one or two small jars a day for awhile--most of their nutrition came from breastmilk (or formula if that's what you used).
Stage 3 foods introduce more textures to get them used to eating table foods. Babies don't need teeth to be able to eat more solid foods, but they do need to be good at mashing things between their gums. You also need to let your baby tell you whether he/she likes the more textured/solid foods. My youngest was completely off of baby foods and eating only table foods by 8 1/2 months or so (she wanted to eat what we were eating!--she was also still nursing), but I've have had several friends with babies who were closer to a year old and would gag when trying to eat stage 3 foods.
My kids have loved the Gerber Puffs and Cheerios (even honey-nut Cheerios are okay; it's just raw honey you have to avoid). Frozen peas also make a good first finger-food. When your son is good at mashing things between his gums, you can try little pieces of chicken, cheese, mashed potatoes, small pieces of macaroni and cheese--really just about anything you might eat (with some judgment!) but cut into teeny-tiny pieces. :)