The combo update contains all updates necessary to get from version 10.whatever.0 to the current one. The other one will usually only update from the immediately prior version.
In this particular case, since it's only 10.6.2 and 10.6.1 was a small update, they're nearly the same size, and it probably doesn't make much difference.
Later in the release cycle, say from 10.5.7 to 10.5.8, combo updaters are usually much larger than the "differential" one (or whatever). On the other hand, they have been known to occasionally solve glitches caused by something that didn't get updated correctly (or got corrupted somehow) along the line, since it's also going to rewrite all the other files changed since 10.5.0 whether they need it or not.
I tend to always use the Combo ones in part because then I can just keep the most recent one in my software updaters folder, and in the event I need to do a clean reinstall (or get another computer), I already have everything I need downloaded.