Both are normal JPEG files — the difference is how they load.
Baseline
A baseline JPEG loads top to bottom, one strip at a time, like a window blind coming down.
Progressive
A progressive JPEG loads the whole image at once, blurry, then sharpens in several passes. On a slow connection it feels faster because the full picture appears almost immediately.
Which to use
Progressive is usually nicer for large photos on the web and can even be slightly smaller. The difference is invisible once fully loaded. Either way, the biggest speed win is a smaller file — compress your JPG first. Related: JPEG quality settings.