Well, to be honest, I would recommend 3 applications:
1)Finder in OS X (unless you have OS X 10.2 which doesn't support disk formats that will work on PC's)
2)Disk utility (really, you can do amazing things with this...)
3)Toast
If you just want to burn data, you will need no more than the built-in Finder's burning capabilities
If you want to be able to burn additional types of disks, you may be willing to try disk utility. Disk utility is a fine app and many people ignore the fact that this is the only app that can make a .dmg file that contains BOTH disk images from a hybrid PC-Mac disk.
If you want it all, then you will use Toast. It supports everything that Finder and Disk utility has, plus burning VideoCD's, making your own Video DVD's, burning multitrack CD-ROM XA's, enhanced music CD's, burning cd's with ISO-9660 format, and more.