You probably want to use all of them at various points. The environment light makes light come from the skybox. Point lights give off light equally in all directions (think of them radiating from a sphere that has zero radius). There's one more, I can't remember what it is...
There are also texture lights. There should be a file called lights.rad in the folder your tools are. A texture that is listed there would produce light. They look a bit better than entity lights. But it really depends on what you are doing.