Docks greatly expand the functionality of the Steam Deck by increasing the amount of ports available to the device. Usually docks will come with a port for an additional display (HDMI or Displayport) and a cluster of USB ports for connecting accessories like mice and keyboards.
Currently the scene with docks is a bit varied. There are many third party USB-C docks available that should be compatible, however some have reported bad quality docks destroying their Steam Decks so beware.
One important thing to look for is an additonal USB-C port on the dock to power itself and the Steam Deck. There are docks available that only provide extra ports without any power passthrough that you can use, but the Steam Deck will not charge suring use.
Besides that the differences between docks usually come down to the amount and type of ports available to the user. You'll usually want at least one display port (HDMI or Displayport) and some USB ports ports for additonal devices like mouse and keyboards. Many docks will come with an Ethernet port for wired Internet, and some even come with an additional slots for m.2 hard drives.
I have heard good things about the JSAux line of docks, but I do not mess around with the device that's providing power to my electronics. For that reason, I have decided to go with the Official Steam Deck Docking station. Not only does it have more ports than many other docks with 2 display ports (HDMI and Displayport), 3 USB 3.1 ports, and an Ethernet port, it's offically supported by Valve and gets regular software updates through the Steam Deck iteself. Many might be turned off by the cost ($89 vs below $60), but it comes with additional power supply for itself which many other docks do not come with. That plus the official support justify the extra cost in my eyes.