You would knit something "in the round" when you want a completed circle or tube, such as a sleeve, hat, sock or body of a sweater. You would be knitting it in a continuous circle, around and around.
However, you can use circular needles to knit flat pieces too, like a scarf or blanket. You would just turn your work when you come to the end, just like you do on straight needles.
I knit on circulars almost exclusively and I have two sets of Knit Picks Options. I believe Options are the majority favorite as they're an exceptional needle at a very reasonable price. There's a sticky thread at the top of this forum with all the info you might ever need about various interchangeable sets.