Multi-headed showers are technically complicated. I'm no plumber, but from what I've read, depending on the number of heads, you'll need to have oversized supplies to the valve, possibly up to 1" (shower supplies are typically only 1/2"). You may need multiple valves, diverters, etc., too. There are also oversized drainage considerations. You need someone experienced specifically in installing multi-headed shower systems, who really knows what they're doing. When I discovered how complicated this was, I went back to my single-headed design.

Multi-headed showers aside, yes, a "thermostatic" valve is the one you want. It's better than a merely "pressure-balanced" valve. A thermostatic valve maintains a specific temperature, that you control, and stays set there. I ordered one for my master bath--it has two handles: one for volume, and one for temperature. Don't know how they work or anything; I just know that's the kind of valve you want (at least, I know that, for a single-headed shower).

Do a google search on "design a shower system" and words like that. I was really intimidated when we started designing our system, too! I found two or three sites that had great little descriptions and even "wizards" that helped you pick all the right components.

Basically you will need one valve that controls the water temperature (that can be a thermostatic or pressure balanced. if you're doing a luxurious shower definitely get thermostatic!) and then you will want a volume control valve (on/off/how much water comes out) for each of the seperate things you have: showerhead, hadnshower, jets.

With that configuration you could theoretically have all three on at once, and as studio460 noted, you better be sure you have enough water pressure and volume to handle that, and likely oversized supply lines as well. Another way to handle it is to decide what's likely to be on at the same time. For instance, if you thought you'd have the showerhead on and EITHER the jets or the handshower, you could have a volume control for the shower, and a volume control for the other two, plus a diverter to choose between those two.

Keep in mind that MOST companies sell the valves and the "trim" (the actual handle you see) seperately. So for instance you will need the $250+ valve PLUS the ~$175 trim for EACH combination. It can add up really, really fast!

Here's a basic overview. There's more out there but here's a start:

Here is a link that might be useful: How to design a shower system