stages are just a way of delineating a vendors turbo setups for the same car...as mentioned above

usually a stage one kit is non intercooled and has an FMU (no fuel ecu or ignition timing)...this is something you can run 4psi in

stage 2 usually adds intercooling (mainly air to air) and maybe step up from an FMU to a piggyback with extra injectors or replacing the main injectors...this keeps stock internals...you can boost up to 10 psi depending on your stock compression

stage 3 usually upgrades to a standalone ecu or a programmable unit, maybe a larger compressor housing on the stock turbo, beginning of forged internals are required including fuel and timing control...this is running up to 20psi or even higher depending on the car

stage 4 and up is complete engine build along with a specific turbo application for maximum power...20-30+ psi

if you are talking stages for a car that is boosted from the factory then that changes the playing field as a boosted car starts at least step 2 but with a factory ecu running fuel management and maybe timing