If you have a choice, the triglyceride form of fish oil is preferable. The triglyceride form, i.e., 3 omega-3 fatty acids on a glycerol "backbone," is the form found in the body of fish that protects them from cold temperatures (i.e., they remain liquid at low ambient temperatures).
Most fish oils on the market are the ethyl ester form. This means that the omega-3 fatty acids have been removed from the glycerol backbone; the fatty acids are then reacted with ethanol to form the ethyl ester.
If the form is not specified on your fish oil bottle, it is likely ethyl ester, since the triglyceride form is more costly to process and most manufacturers therefore boast about it. Also, prescription Lovaza--nearly 20 times more costly than the most expensive fish oil triglyceride liquid on a milligram for milligram basis--is the ethyl ester form. That's not even factoring in reduced absorption of ethyl esters compared to triglyceride forms. Remember: FDA approval is not necessarily a stamp of superiority. It just means somebody had the money and ambition to pursue FDA approval. Period.
Taking any kind of fish oil, provided it is not overly oxidized (and thereby yields a smelly fish odor), is better than taking none at all. All fish oil will reduce triglycerides, accelerate clearance of postprandial (after-eating) lipoprotein byproducts of a meal (via activation of lipoprotein lipase), enhance endothelial responsiveness, reduce small LDL particles, and provide a physical stabilizing effect on atherosclerotic plaque.
But if you desire enhanced absorption and potentially lower dose to achieve equivalent RBC omega-3 levels, then triglyceride forms are better.
Here are cut-and-pasted abstracts of two of the studies comparing forms of fish oil.
Dyerberg J, Madsen P, Moller JM et al.