You’ll probably be offered more than one type of aid. It’s up to you to decide which awards to accept; there’s no penalty for declining aid.
As a general rule, you should always accept grants and scholarships. Aid that you don’t have to pay back is nearly always preferable, although it usually comes with restrictions on how it can be used (be sure to read the terms and conditions).
If possible, minimize the amount of loans you take out. Every dollar you borrow now is a dollar you won’t have later when you’re done with school.