When and what to use is sometimes specified by the part manufacturer and sometimes it is just intuitive.
If you have something that keeps getting loose and you've done what you can to minimize the vibration you need a threadlocker. It is not a Band-Aid product. If you have a bent drive shaft that vibrates the bolts loose you need to fix the problem not just lock the bolts down so they won't ever come out.
The three kinds I keep on hand are:
Loctite 222 for small screws and bolts generally under 1/4". Using a stronger compound on small hardware may cause them to break before you can loosen them.
Loctite 242 for general purpose use. It is considered medium strength. I use it on hardware that I will have to remove at some point but that sees some vibration. Think of things like a transmission mounting bolt or driveshaft "U" bolts in a light duty vehicle.
Loctite 262 for hardware subject to higher vibrations. This I would use on off-road or heavy duty use items like the "U" bolts that attach the axle tubes the springs, trailer hitch to frame mounting bolts and others items that may not see a lot of vibration but are likely to be installed and rarely removed.