The type of adhesive you use depends on where you're tiling, what you're tiling on, and how experienced you are at tiling.
Thinset Mortars
Thinset mortars come in powder form and must be mixed with either water or an acrylic additive.
Thinsets have a stronger bond and are more flexible than pre-mixed adhesives. They can also support a lot of weight, so they're often used for floor installations.
Thinsets can be used in wet areas as well as those exposed to heat.
Pre-Mixed Adhesives
Pre-mixed adhesives are good for setting wall tile because they start gripping the tile even before they're fully cured.
Adhesives can be used in areas that may get slightly damp (such as the wall tiles in a shower surround). Adhesives should NOT be used in areas that will be exposed to prolonged moisture (such as the floor tiles in a shower or bathroom.)