> Do I connect the power to both of these connectors?
No. One or the other, BUT NOT BOTH!!
You may damage your HDD if you connect power to both.
> Which one is better to use and why?
They're the same, as far as HDDs are concerned.
> What are the jumpers in SATA for? http://www.supremelaw.org/systems/wd/western.digital.jumper.settings.pdf
5-6 will override the default 300 MB/sec interface
and set it to 150 MB/second.
The others are explained in the Jumper Settings document above.