When you use NAT, you are putting the guest on its own private network that is "behind" the host machine. If you don't trust the software you will be running on the guest, or if you think other people on your main network might try to do bad things to the guest VM, for security reasons the use of NAT would be good in this case.
In bridged networking, your network card just provides multiple connections to the same network. If your goal is to have your guest behave exactly the same as if you had just plugged another physical computer into your network.
For a detailed comparison I suggest you check out
this post also information about
NAT and
Bridge interfaces can be found on wikipedia :)
