DVD-R
These discs can only be written on once, so if the burning process messes up (or if you forget to add something), then you will have a useless disc on your hands. DVD-R discs are cheaper than rewritable DVD-RWs, but work just the same when burned successfully.
DVD-RW
DVD's can hold about 4.7 GBs of data, which can take a while to burn. If the burning process messes up, DVD-RWs allow you to rewrite over of what has already been written. This functionality, though pricey, can save a lot of headaches by allowing an (essentially) infinite amount of retries until successfully burned.
Dual-layered Discs
These DVDs have 2 layers of 4.7 GBs, giving them a total of 9.4 GBs to utilize. This extra space can come in handy when burning exceptionally large PS2 games; however, these dual-layered discs are usually reserved as DVD-9 discs, which may or may not be compatible with your media reader.