WiFi is what wireless computer networks use, so if you have a wireless router at home (or wireless at work, free wifi in various public places etc) then the phone can use that for internet stuff. It's much faster, although battery life might suffer a bit.
GPRS is what standard mobiles use for data (general packet radio service), so works (almost) everywhere, but is much slower. It's been around for ages. Confusingly enough, GPRS works over a standard GSM connection, GSM being what a normal mobile uses. It's sometimes referred to as 2G, or maybe 2.5G. There are things like EDGE (Enhanced Data rates for GSM Evolution) which is a slightly faster form of GPRS, which is what the original iphone used.
There is also 3G, which gives nearly as good coverage as normal phone stuff (ie everywhere in civilization, some places outside it, and expanding, and all 3G phones can use normal connections too) but isn't as fast as WiFi. It'll be enough for most things though – all the 'mobile broadband' type deals use a 3G dongle for a PC.
Basically go for wifi if you want a really fast connection on a home network, 3G if you want vaguely fast internet access anywhere, 2G if you can't get either, but if you want data you really want 3G as a minimum.
(I suspect you know most of that but are just confusing GPRS and 3G, but I'm sat here waiting for a simulation to run. It appears that I am an uber internet geek. So now I'm going home to my cat.)