That depends on what you want to do, but here is a list of the pros and cons of some of the more common, computer related, colour spaces;
RGB (Red Green Blue)
Additive colour system based on trichromatic theory, used by CRT displays where proportions of excitation of red, green and blue emitting phosphors produce colours when visually fused. Easy to implement, non linear, device dependent, unintuitive, common (used in television cameras, computer graphics etc).
CMY(K) (Cyan Magenta Yellow (Black))
Subtractive colour. Used in printing and photography. Printers often include the fourth component, black ink, to improve the colour gamut (by increasing the density range), improving blacks, saving money and speeding drying (less ink to dry). Fairly easy to implement, difficult to transfer properly from RGB (simple transforms are, well, simple), device dependent, non-linear, unintuitive.
HSL (Hue Saturation and Lightness)
This represents a wealth of similar colour spaces, alternatives include HSI (intensity), HSV (value), HCI (chroma / colourfulness), HVC, TSD (hue saturation and darkness) etc etc. Most of these colour spaces are linear transforms from RGB and are thus, device dependent, non-linear but very intuitive. In addition the separation of the luminance component has advantages in image processing and other applications. (But take care, the complete isolation of the separate components will require a space optimised for your device. See later notes on CIE colour spaces)
YIQ, YUV, YCbCr, YCC (Luminance - Chrominance)
These are the television transmission colour spaces, also known as transmission primaries. (YIQ and YUV are analogue for NTSC and PAL, and YCbCr is digital). They separate luminance from chrominance (lightness from colour) and are useful in compression and image processing applications. They are device dependent and, unless you are a TV engineer, unintuitive. Kodaks PhotoCD system uses a type of YCC colour space, PhotoYCC, which is a device calibrated colour space.
CIE
There are two CIE based colour spaces, CIELUV and CIELAB. They are near linear (as close as any colour space is expected to sensibly get), device independent (unless your in the habit of swapping your eye balls with aliens), but not very intuitive to use.
From CIELUV you can derive CIELhs or CIELhc where h is the hue (an angle), s the saturation and c the chroma. This is more intuitive to work with when specifying colours. CIELUV also has an associated chromaticity diagram, a two dimensional chart which makes additive colour mixing very easy to visualise, hence CIELUV is widely used in additive colour applications, like television.
CIELAB has no associated two dimensional chromaticity diagram and no correlate of saturation so only CIELhc can be used.