As you look further away, you are looking into the past.
The analogy here is being in a forest where the trees get younger and younger towards the edges - over time you see the distant trees grow taller and get older, in the far distance sprouts put forth leaves and grow to saplings, and, in the clear ground outside the forest, new sprouts poke their heads up.
Thus: we get to see new stages in the evolution of the objects that are already there.
Sometimes this is a slow process, like the accretion of a cloud of dust into a star.
The ignition of the protostar could be quite quick, particularly in visible light, so that would be the "sudden appearance of a new object" if you like. Similarly a supernova is a very quick event.
So what it looks like is just the same as the normal changes around us every day.
What you won't see is fully formed stars or galaxies just popping into visibility - they have to grow into being, like the trees.