I've always used NAT as it seperates the virtual machine from the network you are connected to. If you are farmiliar with network at all, NAT is what a lot of private networks use. It's also how home routers work.

Network Address Translation allows a single device, such as a router, to act as an agent between the Internet (or "public network") and a local (or "private") network. This means that only a single, unique IP address is required to represent an entire group of computers.
Read the full article: http://computer.howstuffworks.com/nat.htm

Personally NAT is my choice, unless you have a specific need to use bridging (have the two machines (yours and the VM) to appear to have the same connection) or any of the other options.

Good luck!