They're hyped up as being easy, efficient and best for your body. I haven't seen any evidence that spray vitamins are better absorbed, though. They certainly cost a lot more money, and I don't think they're worth it. When you inhale it in a nasal spray, it passes directly through the mucous membranes into the bloodstream. It makes sense to take vitamins in different sorts of packages according to your own needs and how they are best delivered.
Tablets are easy to store and have the longest shelf life.
Capsules are also easy to store, but aren't as good at protecting the contents from oxidation. Caplets are tablets, but they're shaped like capsules. Gel-caps are gelatin capsules that are easy to swallow. They are used for vitamins A and E and other fat-soluble supplements. There are also liquid vitamins, which you can blend with drinks.