It's a matter of preference.
POP3 pulls all mail messages from the mail server and saves them to your local computer's mail client. Usually your mail client also deletes the message from the mail server, either immediately, or after some predefined number of days. This means that the message exists ONLY on the system where the mail was downloaded. If you use more than one device to read your mail, this can be a problem.
POP3 was the original widely used mail protocol. POP is an acronym for Post Office Protocol and that's a good way to think about it. Like the post office, POP delivers your message as if is was a letter. Once the letter gets delivered, the post office is done with it. This was a necessity when storage was expensive and mail servers had limited available storage. Service providers imposed storage quotas. In order to continue to receive your email, it was important to delete messages to make room for more.
IMAP is the newer of the two protocols. Internet Message Access Protocol, as it's name implies, is all about access to messages. Using IMAP, your mail client obtains a list of messages that are on the mail server. Your client application may download a local copy of each message for display, but the message itself remains on the server until it is explicitly deleted by you. IMAP is a better solution if you use multiple devices to handle your mail.
Nearly all large public web mail services (GMail, Yahoo, Hotmail, etc.) use IMAP. Even Microsoft Exchange is a form of IMAP. IMAP allows easy synchronization of your mail between your computer(s), your phone, your tablet and a web-based mail application. That's because the mail server holds the master copy of your mail. All of your devices synchronize to it.
Contrast this with a typical POP3 scenario. Let's imagine we use several devices to handle our email: an office computer, a home computer, a smartphone, a tablet, and web mail. Imagine also that all of these mail clients (except web mail) are set to delete mail from the server as soon as it is downloaded to the device. This means that messages you read while at work will be downloaded there. They won't be available to you when you go home. It also means that, if you check your work email account from home, messages you read there won't be available to you when you return to work. This situation will be even more complicated when you check your mail from your phone while you're at lunch. Messages you read there will ONLY be on your phone.
The usual solution to this scenario is to set only one device to delete messages from the server and to set the time before deletion to be long enough that you're sure to be able to download a copy to any device you need to read it on. Set all other devices to leave the mail on the server. This is complicated and can lead to missed messages.
In today's age of ubiquitous email-enabled devices, IMAP has a very clear advantage. The location of each mail message is unambiguous: it is on the mail server. In addition, since email storage has become incredibly inexpensive, there's no longer an advantage to using POP3. Today, very few email providers use older, POP3-only mail servers. Unless you have a very specific need to use POP3, it's best to select IMAP as your email protocol.