importing from photoshop to indesign

Do your images have multiple layers? Are these layers used to show/hide different content in the images, perhaps so the same image can be used in multiple ways? If you edit the image in Photoshop by adding a new layer, do you want that immediately reflected in the InDesign layout?

Those are the things that are addressed in that dialog, and the answers to those questions will determine how you should set the options. There is no single best way to set this.

In my own work I often have hidden layers in a saved Photoshop file, at the very least because I never edit the original Background layer directly so I can always go back to the original data, but I would normally choose to hide some layers on import (and saving Layer Comps in Photoshop is a good way to streamline this). I suspect that in most cases you would probably want to select to keep Photoshop's layer visibility so that newly added layers are shown or newly hidden layers are not, but there is no correct answer here, and you always have the ability to change the visibility of layers at any time in the InDesign document by right-clicking the image and selecting Object Layer Options...