Generally: just download the proper version and you're ready to go. There's currently way too many leading versions so bear with me:
SMBX 38A 1.4.5 - not smbx, but instead a remake of the engine.
NSMBX - continuation of the source code, released recently
SMBX2 (current: 2.0 Beta 4) - hack of 1.3, with the most features out of these and most levels around here
All 3 of these are compatible with levels made in 1.3 but are incompatible with one another, so you won't have to download 1.3 separately.
To play an episode, download it and extract the episode's folder into the "worlds" directory. Running the game will then load that episode into your world selection from which you can play it.
For standalone levels: In 1.3, 38A and NSMBX you need to start the game and open the EDITOR, and then load the level and hit F5 to play.
In SMBX2 you can run the lvltest_assoc.bat file in the root directory to make your computer associate lvl and lvlx files with SMBX2, allowing you to run them with a double-click. If you choose not to do this, you can either go through the editor like in the other versions, or use the "open level" button on the launcher.
For episodes of high quality, I think it's best you say what you're looking for. Eclipsed is currently on their way to beat all episodes ever made, so they'll probably be able to recommend some if you share your interests. People have made many different episodes that appeal to different kinds of players (easy/traditional, more gimmick-based, difficult, puzzle...)
Hope this helps.