I have been growing 1000s of fruit trees from seed for years now. No, I don't have that much land. I grow them in pots and packets, to give them away to friends, neighbours & strangers. The most popular where I live are definitely papaya -- because I'm mostly giving to people in short term tenancies they want something that will fruit quickly.

Ideally you read up and study what grows where, which soil type, how much sun etc. In practice, most things grow in most circumstances, albeit sometimes not so well, so if you try and grow everything everywhere you'll learn quickly. I guess the single most important point to consider is probably temperature -- I live in the tropics, so I don't bother with any that need winter chilling (e.g. apples, pairs, peaches, plums etc). Conversely, if you live somewhere that it freezes, you can forget the tropical ones such as mangoes, lychees etc.

The main lesson is, don't stress about how, but PUT YOUR HANDS IN THE SOIL, NOW! Give seeds a chance! If you have questions, don't hesitate to ask...