For many/most games, there is little practical difference between "U" and "E" roms. Both tend to be ported over in English, and the "E" for Europe seems to mean the United Kingdom more often than not.
Then again, there are sometimes pretty big differences between the varying versions ... the general rule of thumb that I use is if I know little/nothing about the versions, to default with "U" if it's available. I'm American, so that makes sense.
It's not always necessarily the best thing to get the ROM file for the version that was meant for your region, however ... sometimes certain versions can be glitchy (Harvest Moon DS), have portions of storyline/script (even gameplay!) omitted (Final Fantasy IV), and so forth.
Really, if you're worried about it, the best thing you can do is a bit of case-by-case research. Failing that, default to your region. Try to get a copy with a "!" code after the region ... this means that it's a verified good dump.