[Patinka]

Is there any difference between P orbitals when it comes to forming a sigma bond?
Does it matter which of the orbitals forms the bond? I have 3 different sources and each says different information: 1st one that sigma bond is formed from Px, 2nd says that its formed form Py and the last that its from Pz.. I don´t think there is a  difference, but I also read that it´s related to magnetic quantum number, so Pz has magnetic quantum number 0, so it should be this one..
Thank you:)

[Rutherford]

If you draw the orbitals in a 3d coordinate system, the one you choose to be the abscissa is the one forming the sigma bond, doesn't matter which one it is.
pz is the most often chosen, as with pz is usually labelled the p orbital filled last with electrons (when applying Hund's rule) - px then py then pz.