There are four World Tiers in Diablo 4, each with its own set of modifiers which will affect your gameplay experience, ranging from Adventurer, Veteran, Nightmare, to Torment. The World Tier can be changed from the character select screen or from the World Tier Statue in Kyovashad.
When players create a new character in Diablo 4, they are given a choice of beginning on either Adventurer or Veteran. For new players, we recommend starting on Veteran and switching to Adventurer as needed. This is because the majority of fodder enemies are quite easy on either, but the rewards on Veteran are much better. Better gear is the quickest and easiest way to increase your overall damage output and thus allows you to tackle more difficult encounters (but there is no shame in dropping it down when you need to).
After beating the Campaign with at least one character (and completing the Cathedral of Light Capstone Dungeon), both Nightmare and Torment World Tiers will unlock. For full details on each, click the associated screenshot (above) to expand it.