I\'ve been wondering this for a long time since I\'ve never had \"formal\" education on computer science (I\'m in highschool), so please excuse my ignorance on the subject.
A simple answer is to use the smallest one you KNOW will be safe for the range of possible values it will contain.
If you know the possible values are constrained to be smaller than a maximum-length 16-bit integer (e.g. the value corresponding to what day of the year it is - always <= 366) then use that. If you aren't sure (e.g. the record ID of a table in a database that can have any number of rows) then use Int32 or Int64 depending on your judgment.
Other can probably give you a better sense of of the performance advantages depending on what programming language you are using, but the smaller types use less memory and hence are 'better' to use if you don't need larger.
Just for reference, a 16-bit integer means there are 2^16 possible values - generally represented as between 0 and 65,535. 32-bit values range from 0 to 2^32 - 1, or just over 4.29 billion values.
This question On 32-bit CPUs, is an 'integer' type more efficient than a 'short' type? may add some more good information.