Short answer : If you need to ask then use sRGB.
Long answer :
sRGB is the "standard" for the web and is the "standard" for most printing services. Unless you have a good reason to shoot in Adobe RGB then sticking with sRGB keeps things simpler all round.
If you shoot to raw then it doesn't matter which setting you have in camera. raw files don't have a colour space. The decision only needs to be made at the time of conversion/save to JPEG or TIFF. If you are saving for the web then save to sRGB. If you are saving for print then also save to sRGB unless your printer (device or service) wants Adobe RGB. There is one small caveat to this - the preview image recorded in the camera is affected by the chosen colour space, even though the raw data isn't. This may have an impact on the histogram which the camera displays. Some say that shooting with the camera set to Adobe RGB will yield a more accurate histogram. They may well be right, but since other considerations such as white balance and picture processing adjustments (sharpness, contrast, saturation etc.) have an effect as well you could end up chasing your tail.
If you shoot to JPEG and choose to shoot in Adobe RGB, even though ultimately you will end up with sRGB files, that is a poor approach since you already have a limited 8 bit tonal range and will waste some of it storing colours which ultimately will not be displayable. If you shoot straight to sRGB then you will use those limited data bits more wisely, leaving more data with which to more accurately record luminance variations within gamut rather than unreproduceable colours outside it. This can give you files which are a little more forgiving when pushed and pulled.