I understand that you have to have visas to enter some countries, but I was wondering whether you have to pay for each visa separately or you can get a visa to go everywhere. You see videos and lists on what you should pack to travel the world, but no lists on the documentation needed.
A visa is a document issued by a government, stating that a person (normally foreign) is given provisional permission to enter (and, in some cases, remain) in the country run by that government, under certain conditions of that visa. See the wikipedia article for more reading.
As visas are necessarily issued by governments, there is no "go anywhere" visa. In certain cases, governments have banded together to issue visas for a larger area (eg Schengen). In certain other cases, countries will waive the visa requirements if a person also holds a visa for another (normally closely related) country.
As visa requirements are specific to both the nationality of the traveller and the nation the traveller is visiting, it is very difficult for "videos and lists" to cover all requirements.
So, how to figure out if you need visas, and what visas you need? The most reliable source of information is normally the embassy of the nation you wish to visit in your country. They may provide information on their website, or they may need you to phone or call them. Many developed countries' own governments maintain a travel advice page for their citizens. These typically list entry requirements for that country's citizens. There is also a system known as TIMATIC, used by airlines to check visa requirements for travellers. While access to this is paid, some airlines provide a way in through their websites, for example KLM here.
When looking for information on visas and applying for them, a traveller should be aware that there are a large number of scams on the Internet relating to visas. Some of these sites will take your money, then tell you you are rejected without ever really applying. Some will genuinely apply, but charge you an extra fee on top of what you have to pay for the visa. Some will tell you that you need a visa, when in fact you do not, to get you to give them the fee for an unnecessary visa. To avoid this, you should always try to ensure you are dealing with the official government body of the nation you intend to visit. Again, the likes of the Foreign Office (UK), State Department (US) or local equivalent can normally point you in the right direction. Equally, many countries provides lists of official contact details of all their diplomatic missions and official agents abroad. In certain circumstances (especially on a long trip) visa agents can be useful, but one should be sure that they are legitimate, and understand already what the fees and requirements are before using them.