FIDO2 is an improvement over the U2F standard, mainly with the ability to now perform password-less logins [1][2]. This had to do with a shortcoming in the U2F protocol and/or devices such that they didn't need to have much storage on these devices [3]. To address this, the new FIDO2 devices are now required to persist your username(s) for a particular site. The new CTAP2 protocol has also been extended to accommodate more sophisticated authenticators, like those crypto-currency wallets with a display.
If you are looking for devices, check out reviews of various devices by agl [4] and Brad Hill [5].