the general answer is whatever will make the problem easiest
I'll answer the 2nd bit first
look at the symmetry of your question, which coordinates will make the boundary of integration the simplest eg. for a sphere pick spherical coordinates... its more difficult to define the boundaries of a sphere in cartesian coords where you only know:
x^2 + y^2 + z^2 = 1 defines the boundary, where as in spherical coords all you need is r=1
Then once cordinates system is chosen write down an infintesiaml volume element, for cartesian corodinate system this is
dV = dxdydz
and a general volume integral is a triple intergral
If there is a symmetry to the problem it may be possible to write the volume in terms of less infinitesimals, eg. for a volume of a curve revolved around the z axis we can write the infintesiaml volume element as a the volume of a infinitesimally thin disk of radius based on z
dV = pi.r(z)^2.dz
so the general answer is to exploit symmetres as much as possible to make the integral as easy as possible
the other thing to remember is every variable in your integrand should be written in terms of the integration varibales