It depends on what you're using it for.
JRE is the Runtime Environment that contains the necessary files to RUN Java programs. It's a rather small download (a couple of megs IIRC).
JDK is the Development Kit which contains the source files, the compiler and also JRE. This package is meant for developers developing Java applications. This is a big download as well; ~20-30MB.
So, if you just want to run Java apps, d/l JRE. If you want to do some Java programming, get JDK.
Hope that helps.