This belongs in the Photography thread.
There's no difference other then file size. Shoot at the maximum resolution all the time anyway, and then downscale to 72 dpi for web.
If you KNEW your photos would NEVER EVER EEEEVER be printed, then you could set your pics to a smaller size in camera... but that would just be ludicrous.
EVERY photo deserves the option to be printed... Drives me nuts when I see people shooting on small size on their camera... But I'm a fucking lunatic... so don't take my word as gospel.
If you have a DSLR then shoot RAW format, and edit in Photoshop or Lightroom.
Go read the "Photography" thread. Scores of good tidbits of info in there that are worth all the reading. Go soak it all up.
:^)
Have fun!
Happy Shooting.