This Apple knowledge base page (via 512 Pixels) has beautifully detailed pictures of each Apple Watch band style, along with instructions on properly fastening each band type, as well as tips on getting the best fit.
What I found fascinating about the page was the pair of warnings at the bottom:
Apple Watch, the space gray and rose gold aluminum Apple Watch Sport, the stainless steel portions of some Apple Watch bands, and the magnets in the watch and bands contain some nickel. However, they all fall below the strict nickel restrictions set by European REACh regulation. Therefore, while nickel exposure is unlikely to be a problem, you should be aware of the possibility in case you’re susceptible to nickel-related reactions.
And:
The Apple Watch case, the Milanese Loop, Modern Buckle, and Leather Loop bands contain trace amounts of methacrylates from adhesives. Methacrylates are commonly found in many consumer products that come in contact with the skin, including adhesive bandages, but some people may be sensitive to them, or develop sensitivities over time. Methacrylate exposure from Apple Watch and the bands listed above is unlikely, but customers with known methacrylate allergies should be attentive when wearing the bands until they can determine they are not experiencing an allergic reaction.
The page was published last September, so this is likely old news, but this is the first time I’ve encountered these warnings.