Engines have a value called ISP that is the specific impulse of the engine. Basically it is how efficient the engine is. The game will give you the engines ISP at sea level and in a vacuum when you right click on an engine in the build menu. The engines with a high vacuum ISP are best used in space. The once with have 280 or more sea level ISP are your booster stage engines.
Engines have a Thrust value. If you are launching somethings small, you don't need as much thrust.
Engines come in different sizes and weights. For a small probe or a little command seat with a small fuel tank, an Ant engine may work best.
You will try to use the most efficient engine for the job.