it depends what your going to use it for man? if your going to be resizing and placing it on different documents then vector. but if your going to be using it just for one website and one size then i guess jpeg.
I agree with thrash, it depends. As he says, if resizing, a vector would allow you not to lose quality. Apart from that you should check out how many colors are you using in your logo, and where are you using it (is it a website? a brochure?).
Watch out JPG, as its compression can make you lose data; use GIF o PNG for less coloured stuff. Photoshop "Save for web" option can be really useful if you are going to use it online.