usb 2.0 is the most widely used. It will do almost anything you need.
If you really need high speed / bandwidth transfers, then you go to firewire.
Depends on what devices you're connecting.
Professional audio and video users should opt for Firewire 800. All other applications it really doesn't make much difference.
Hard drives on the other hand, you should use FW800. Like pro audio and video, hard drives can really use the bandwidth and throughput of firewire. But if you're barely using that external hard drive, and your files aren't very large, you aren't likely to see much difference between USB 2.0 and Firewire.
In my experience, USB 2 is actually faster than firewire. Anybody got benchmarks?