There are lots of different ways to construct a finitely generated (discrete) group. For example (in no particular order):
Fundamental groups of topological spaces;
Groups of symmetries of mathematical objects (including fields, manifolds, simplicial, real and $\Lambda$-trees, etc.);
Groups given by presentations satisfying various small cancelation conditions (from Tartakovsky to Olshanskii to Gromov);
Lattices in Lie groups;
Wreath products of various kinds;
Direct limits of sequences of groups and their homomorphisms (including various "monsters", etc.);
Free constructions (HNN extensions and amalgamated products);
Groups simulating various computing devices (there are several different constructions here);
Groups acting on locally finite rooted trees (including Grigorchuk groups and iterated monodromy groups of Nekrashevych);
10 Automatic groups,
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