Any grains that are used for color, unfermentable sweetness/ flavor, and body do not need to be mashed. These include Crystal, dextrin, chocolate, black patent, and special-B to name a few. These grains do not add fermentable sugars to the beer.
Grains that do add fermentable sugars require mashing. The mash converts the starches into sugars. Your base malt, in most cases 2 row or 6 row malt, makes up most of the grain bill for most beers. These grains include, 2 row, Pilsner, British pale malt, and Morris Otter. There are other malts that add fermentables to the wort and they also add sweetness, maltiness, nuttiness and color. These include Munich and Vienna malts.
There are lots of other malts I didn't mention but as Fiery Sword stated read up on them. There is a lot of literature out there that will help you understand malt and grains. God luck.