First, do NOT get the plain Roku Express. It has too little storage memory to hold many channels without having to constantly re-download them and too little RAM memory to even run some of them properly. The Express 4K should be the minimum model anyone should buy these days.
As noted, stick models plug directly into a TV or A/V receiver. This keeps them out of view, but you MUST control them with a Roku remote or a phone/tablet app as they are controlled through RF. Other models are standalone boxes and can use either RF or IR (IR lets you use a universal remote if you want.) You will need the Roku RF remote if you want to use voice, though. I rarely use voice, and have a universal remote for controlling mine 99% of the time.
The Ultra has Ethernet ports if you don't want to use WiFi (Ethernet is more reliable), and a USB port for movies and pictures.