My current rule of thumb:
CDs - Always use ISO
Use ISO+Rockridge/Joliet for data and general use
Use UDF if I'm burning files larger than 1GB to a DVD (With ISO, can only burn files with a max size of 2GB), or DVD-Video.
Joliet is basically Long File Names for ISO9660 disc format - Best supported under Windows. Rockridge is functionally the same thing, but works better on Macs, *nix, Amigas, basically every other OS
ISO has much better support so I tend to use it for compatibility.
UDF is 'better', but is less well supported and frankly it only has a few additions over ISO that I actually use (Like supporting Large Files )
ISO/UDF has caused me problems, so currently I steer clear of it...