Basically there are two types of "waxes" (I use the term loosely, as I'll explain) -- natural carnauba and synthetic polishes, and there are significant differences between them.
A carnauba wax is a natural product; its "pros" are that it offers some level of protection for the vehicle's paint surface, and it makes the paint look better -- deeper, shinier, wetter, etc. Its main drawback is that it's not very durable. It's still a natural wax product, so as it's exposed to the elements (sun, rain, etc.) it wears away rather quickly and needs frequent reapplication to maintain good protection and appearance.
Newer, synthetic type polishes offer the best of both worlds -- they can make your car look great, and offer more durability than a natural carnauba. Synthetics have been knocked because some people just prefer the look and feel of good 'ol carnauba wax. Some people even layer carnauba over a synthetic polish. In the end it just comes down to personal preference.
If your car is a garaged, weekend-driven toy that never sees the elements, you could get a lot of use from a carnauba wax. For daily drivers, and people who drive their "toys", a synthetic polish is probably a better choice.
Some carnaubas with a good reputation include Meguiar's #26, Pinnacle Souveran, and Adam's ButterWax.
Some recommended synthetics would be Meguiar's #21, Rejex, and my personal favorite the Zaino line of car care products.
Meguiar's markets its new NXT Tech Wax as a synthetic polish, although it looks and lasts more like a carnauba wax. It's a nice product though, being very easy to apply and remove.