With the "open differential" (which is what comes with the Jeep), both wheels can turn at different speeds so that you can take corners easily. The downside of this is that if you raise one of your rear wheels off the ground, and have the Jeep in 2WD, the Jeep will not move because all the power will be sent to the wheel with the least resistance (in this case, the wheel that is off the ground will spin fast, while the one on the flor -ie. the one with the traction - will not spin at all).
While an open differential is fine for street driving, but for offroad, it sucks because the power will always be sent to the wheel with the LEAST traction, which means you are very likely to get stuck if you loose some traction.
The other extreme is the spool, where both the right and left wheel turn at the same time because the right side and left side of the axle are bounded together. This is great for offroad, because power is always transfered 50/50 to each side, but sucks for street because it is a pain to take corners.
If you want the best of both worlds, you get a locker (like OX, which is cable actuated, or ARB which is air actuated). What these do is that when activated, they act as a spool, but when not actuated they act like open differentials.
THere are other options but if you really want the best of both worlds, I recommend a locker... As for the other options, the most common is the limited slip differential, which will not allow 100/0 split of power, so it always send SOME power to both wheels (although if you loose traction, you will have less than 50% of power to the wheel with the traction). There are also some automatic lockers, like the detroit lockers which are popular, but for street driving, they make a bit of noise.
With lockers, you will not notice them when they are off, but when you need them, they will send power to the wheels. Personally, I prefer the ARB because an electrical switch is easier to install than a lever in the cab of the Jeep (on the down side, they do require that you install a compressor on board to activate them), but I have heard no bad comments about the OX (just amke sure the cable is set up properly and they will work whenever you need them).
Felipe