Get The Tone
We are dealing with a multitude of styles, so you can go for a variety of setups. Grab your favourite axe and experiment with pickup and tone settings for each style. I would keep a clean tone for the jazz examples, using the neck pickup and rolling off a fair bit of tone. Blues and rock obviously lends itself well to some added distortion. Steer clear of too many effects when learning, though, as these can mask any weaknesses in technique and actually set you back.