Quick overview of datums/coordinate systems for GPS use.

The GPS system run by the US Government uses WGS84 datum and decimal degrees as the internal coordinate system.

If you're using a consumer-level GPS and you like to export your data to a GIS in the future, then this coordinate system is probably the most versatile. Also, if you'd like to overlay your data on web maps such as Google Maps "Mashups" then WGS84 decimal Degrees are the format that is needed. In this format you won't have to worry about keeping track of your UTM Zone and the transformation being used.
However you should use the projected UTM coordinate system if you want to make measurements while you are in the field because instead of being in the Degrees the UTM system is in Metric units. You have to use a polar projection in high latitude areas because the UTM system doesn’t extend to the polar regions.
A good review of Datums and coordinate systems is online at Peter Dana’s website
http://www.colorado.edu/geography/gcraft/notes/datum/datum.html

Other Datums

The WGS84 coordinate system developed in 1984 replaces continentally specific coordinate systems and older ellipsoids for much of the world. The North American NAD83 coordinate system was very close to WGS84 in the 1980s but has drifted away and today these datums are over 1 meter apart.
You should use WGS84 or NAD83 for most applications, particularly if you want your data to line up with new, satellite derived data like imagery and SRTM DEM.
If you work with local maps in other coordinate systems you may want to put your Recreational GPS into that coordinate system instead. That way the coordinates reported on your GPS will conform to the coordinates shown on the boundary of the map. In North America, a common system for old maps is NAD27 which is still very common on spatial data in reports and maps.