When should I use a primary key or an index?
What are their differences and which is the best?
A table can only have one primary key, but several indexes.
A primary key is unique, whereas an index does not have to be unique. Therefore, the value of the primary key identifies a record in a table, the value of the index not necessarily.
Primary keys usually are automatically indexed - if you create a primary key, no need to create an index on the same column(s).
Each table should have a primary key. Define a primary key that is guaranteed to uniquely identify each record.
If there are other columns you often use in joins or in where conditions, an index may speed up your queries. However, indexes have an overhead when creating and deleting records - something to keep in mind if you do huge amounts of inserts and deletes.
None really - each one has its purpose. And it's not that you really can choose the one or the other.
I recommend to always ask yourself first what the primary key of a table is and to define it.
Add indexes by your personal experience, or if performance is declining. Measure the difference, and if you work with SQL Server learn how to read execution plans.