WEP was the original security specification used in 802.11 technology but it was fundamentally flawed as it was relatively easy to crack and had other issues.
In order to fix the issues and implement stronger security, a new security specification was drawn up. This is known as 802.11i which has been recently released. 802.11i is technically WPA2 as its specifications were finally ratified and implemented.
The industry knew 802.11i would not be ready for a while and a better solution needed to exist so another solution was born. WPA delivers a level of security way beyond anything that WEP can offer, bridges the gap between WEP and 802.11i networks, and has the advantage that the firmware in older equipment may be upgradeable.
So, if you can…use WPA as it’s more secure. However, know that because it uses RC4 encryption that it can slow down your connection anywhere from 10-50% depending on your brand of hardware. So, if you have a 54Mbps connection which actually transfers data at 20MBbps (without security) don’t be surprised if transfer rates drop to 10-15Mbps when you enable WPA.