The Federal Rules of [Civil]/[Criminal] Procedure are the same for every federal district court.
The Federal Rules of Appellate Procedure are the same for every federal circuit court.
Each district and circuit court, however, can establish additional local rules. These local rules cannot supplant an established rule, but can supplement or otherwise clarify.* The differences between local rules often (but not always!) are relatively minor.
And then there are local-local rules, i.e., each judge's preferences. Sometimes a judge will issue a blanket order; sometimes you figure them out the hard way.
* E.g., a federal rule might say that a court must hear urgent motions on a regular basis. So a local rule might specify that urgent motions are heard every Monday afternoon. But another court could specify Friday afternoons.
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