I am starting to work with Unity building a 3D game, and am trying to wrap my head around a few things.

Do I build stuff like buildings, stadiums, etc. in a 3D modeling tool like Blender and import them or do I create that stuff in the Unity editor itself?

I am pretty sure the smaller stuff like weapons, small objects, etc are done in a modeling tool and imported, but it's the bigger stuff I'm not sure about.

Do I build stuff like buildings, stadiums, etc. in a 3D modeling tool like Blender and import them or do I create that stuff in the Unity editor itself?

Yes.

Importing an environment model is usually more performant than a manually constructed environment. Manually constructed environments are easier to tinker with and allow for dynamic elements. You should probably experiment with both a little and use whichever one (or both) is appropriate for each situation.

Models are created externally in your modeling tools. Scenes are composed of models and generally composed inside Unity.

Characters need to be independent objects. Things that move around in your scene should be independent objects.

It gets a little more complicated for items that never move. You may choose to build them all as a single model in your modeling tool --- which makes it difficult for anyone other than modelers to move and adjust --- or you can edit them in Unity which means slightly more work for the modelers, plus setting the right switches inside Unity to make sure they get put together as a single draw call.

For your description of buildings and stadiums, those are probably a mix of the two. If it is a static shell then the static single model in your modeling tool is fine. If it is a dynamic world with lots of scripted parts then you'll need to build the individual sub-models in your modeling tool and the combined parts in Unity.

It depends on the game.

3D with a 2D view almost all objects are imported into the software and then just moved and rotated into place.

3rd person games all objects except the large ones are modeled and then imported.

1st person games almost every thing is made from set pieces, this is known as a modular workflow. It allows the level designers to build huge scenes by using set pieces and combining them with other set pieces.

It's important that when using a workflow like this that all three densities(Poly count, detail size and texel density) are considered hard rules, with only a +/- 10% leniency, if you allow any artist to stray too far from these lines they will create set pieces that doesn't match the rest of the game.

Here is more on modular pieces:http://wiki.polycount.com/wiki/Modular_environments

There is a mod for Fallout 4, that allows you to use all the set pieces to make your own settlements; it's a good way to see how set pieces work and all of them are made by top artists.