Are there any important differences that I would need to know between a piston and a diaphram first stage regulator, being the new diver that I am. And what does a ballanced reg mean?
Balanced regs are designed so that the supply air pressure acting on the reg is counteracted by re-routing some of the air pressure so that it exerts a force in the opposite direction, thus removing some of the effect of the supply pressure. The effect in diving is that with unbalanced piston 1st stages, as the tank empties the pressure needed to close the valve will be lower, because there's less force from the tank pressure trying to open it. This results in air being sent to the 2nd stage at slightly lower pressure with a near empty tank. That will make 2nd stages a little more resistant to opening, or slightly higher breathing effort. This effect is more noticeable with unbalanced 2nd stages as well.
Balanced vs. unbalanced has absolutely nothing to do with depth. All regs are depth compensating; they would not work otherwise. When people say that unbalanced regs, by design, do not breathe as well at depth they are incorrect. However, there is a higher flow demand on all regs at greater depth, and since most unbalanced regs have lower flow rates, you'll notice any limitations in flow in any reg at depth.
If you find yourself at significant depth with very little air (say less than 500PSI at 100ft) an unbalanced piston reg (like the SP MK2) will deliver noticeably less air than a higher flow balanced reg like the MK25, or many others. This is hardly a purely negative attribute, because if you're that deep with that little air, chances are you could use a "reminder" that it's time to head up. There was recently a thread about a guy who was thrilled with his great improvement in air consumption when he noticed late in a dive that he still had 900PSI. A few minutes later, he suddenly couldn't get any air; his SPG had stopped working and he had no idea he was dangerously low on air. An unbalanced piston 1st stage would probably have prevented that.
The debate about piston vs diaphragm regs is one of the longest running discussions on SB. There are excellent regs of both designs; there are advantages to both designs, and there is a wide range of quality and performance among regs of each design. In short, there are good piston regs and not-so-good piston regs, and exactly the same is true with diaphragm.
I'm certain that reg performance in the real world of recreational diving has much more to do with how well the reg is maintained and adjusted. I have a friend who recently bought a sherwood SR1, which is touted as one of the easiest breathing regs on the market. We put the brand new reg on a tank and found it had a higher cracking effort than my MK2/R190, which is much lower flow, "entry level" reg, but maintained and tuned well. Obviously the dealer at which he bought the SR1 did not bother to tune the reg at all.