Do you know if I need some type of water trap hooked up to my compressor
when using one of these guns?

Unless you live where the air is dry, I'd say you need a water trap in your air line. You can get an idea by how often you need to drain your compressor tank, and how much water accumulates there. A longer (plumbing, not hose) air line will let the air cool and will result in less air out the hose.
You should also have an oil trap if your compressor uses oil.
Some finishing products seem to be much more sensitive to moisture in the air supply than others. When I sprayed a few guitars with nitrocellulose lacquer, I needed a silica gel water absorber in the line to back up the water trap.
There's a big variety of spray guns out there, and they are expensive, so make sure you know what you want/need before you buy. Just the needle and orifice set for a gun (if you have the wrong orifice for the product you want to spray) can be around $100, so make sure you choose correctly for what you want to spray.
DeVilbiss makes some very 'consumer grade' guns nowadays, so the name doesn't mean what it once did.
Sata guns are the 'gold standard' nowadays. Walcom are excellent guns at a bit lower price.

Unless you get a turbine setup, I think you should be looking for a HVLP gravity feed gun (make sure your compressor can supply the gun you choose). I strongly recommend buying the PPS adapter so you can use the 3M PPS disposable cups - they save a lot of material and especially solvent.

Here's the place I get my PPS spray stuff; Jeff also sells Walcom guns. It will give you an idea of prices (in CAD). Jeff usually answers questions by email.
http://www.woodessence.com/Spray-Equipment-C20.aspx

It can get expensive quickly. I tried cheap (the Harbor Freight type) guns but the overspray was ridiculous, even in a borrowed spray booth.

Make sure you have big enough air hoses to supply your HVLP gun, and don't use a longer flexible hose than necessary. You also need a pressure gauge at the gun.

BTW, because I haven't done a lot of spraying and don't have a very dust-free paint booth, I wouldn't spray traditional varnish. The 2-part clear coat products flash a lot quicker and collect less dust. If there is any dust around, a spray gun will tend to kick it into the air - unlike a nice quiet brush and varnish can!