When buying liquid smoke I'm generally faced with a choice of:
How do these differ? I'm interested in knowing things that'd help me decide what to pair them with.
Mesquite is a very assertive flavor that typically goes with beef, especially fatty beef.
Pecan and hickory are stronger than apple, but milder than mesquite, and are great for pork or poultry, and work just fine with beef.
Applewood is very flexible, a bit lighter and sweeter. It's the only one of the woods you mentioned that I would consider using with fish.
Ultimately, there's no hard and fast rules - taste things and do what works for you!
Liquid smoke is made from distilling actual smoke and so, to some degree, it tastes like the wood it comes from. For example, I can detect fruity apple notes in apple wood.
Of course, the flavor of smoke itself is far more potent than any of the notes imparted by the type of the wood. In my experiments, I have found that any kind of wood (or liquid smoke) will work for my recipes but some of them are complimented by those extra notes. Again using apple as an example. I really like how apple wood compliments smoked pork.
Some woods are more strongly flavored than others. Oak and pecan are milder flavors that can be used anywhere without distracting. Mesquite is more boldly flavored and will be noticeable.
Some of the actual flavor pairings are just traditional. For example, I am more accustomed to mesquite with beef than pork. I can't say it is really better suited except that I'm used to it.
Smoking web sites will give advice on what woods work well for various applications:
This is a good table. It is a BBQ site so it is all about smoking meat. Notice that most woods work well with any kind of meat. There are descriptions of those extra flavor notes that each wood provides. You can use this to tailor your particular dish.