To protect your room from the sun or a neighbor's view, use a sheer, fabric window treatment like Blinds To Go's Serenity Shade that has both elegant light diffusing qualities and privacy options. For total privacy, you can use an opaque treatment like a pleated or cellular pleated shade, roller shade or blinds without route holes. Keep the Outside Out To block an unattractive view or prevent anyone peering in, use opaque pleated or cellular shades, adjustable blinds, shutters or curtains. The choice is largely aesthetic, but you can first base it on the window's style, scale and condition, then the room's scale and style. Shades, blinds and shutters are geometrical and can draw attention to unshapely windows.
Curtains are more forgiving.
You can use a combination of treatments if you have an elegant, well-placed window.