The Registry is fundamental to the way that the VO works. A registry is a list of all the services made available by different data providers. Each entry records some information about the type of service, who provided it, what kind of data it contains, and so on (registries may contain other types of entry as well, but we will not discuss these further here). Any data provider can add an entry to the registry to advertise that it has certain datasets available for access.
Several registries exist; they tend to be maintained by different regional VO organisations. At the time of writing, there are registries maintained for public access by GAVO, ESA, STScI and (remnants of) the UK's AstroGrid, amongst others. Particular projects may also maintain their own registries with limited holdings for internal use. The main public access registries talk to each other to synchronize their contents, so to a first approximation, they contain similar lists of entries to each other, and it shouldn't matter too much which one you use. In practice, there are some differences of format and content between them, so one may work better than another for you or may contain a record that you need. In most cases though, using the default registry (currently the GAVO one) will probably do what you want it to.