Besides adding WiFi capability, the main claim to fame for the ESP8266 processor over the AVR processor of the standard Arduino is that it has a larger 4 MB of Flash memory and runs at clock speeds of 80 MHz and can sometimes optionally be overclocked to 160 MHz and therefore has a very fast processing speed.
The Digital I/O all support PWM and interrupts. In addition they can be configured to have pull-up or pull-down resistors. Though there are 11 digital I/O pins, 2 are typically reserved for use as the TX/RX lines if serial communications are used which leaves 9 digital I/O.
The module can be powered via the USB port or by using an external 7-12V power supply connected to the VIN pin. The module runs at 3.3V, so keep that in mind when working with I/O. The digital I/O is stated as being 5V tolerant, but the analog input needs to be limited to
The blue on-board LED is connected to D0 (GPIO16) and can be accessed using the LED_BUILTIN constant.