HPS lights are great for vegetative growth and flowering.
They're more expensive than MH lights, but they produce much higher amounts of light. They have a lot of heat though, so you'll need a good ventilation system to keep it cool.
MH grow lights are much cheaper than HPS grow lights, but they're not as efficient at producing light. They only produce about half the amount of light that HPS grow lights do, and they don't get very hot. If you have the room, you can grow with MH grow lights. They're perfect for smaller grow spaces.