Doughnuts fall into two categories: fried and baked. Of course, there are sub-categories defined by their shape (they're not always round); the rising agent used (yeast, baking powder or sourdough); what (or if) they're coated with after being cooked; and whether or not they are filled.
Fried doughnuts have a delicately crisp crust that contrasts with the light interior, while baked doughnuts tend to be more cake-like in texture. While baked doughnuts can be good, few people prefer them to fried doughnuts - at least, if they're judging purely on taste and texture, and not counting calories (the fried ones have more).
But one rule applies to all: fresh is best. Doughnuts start to deteriorate as soon as they cool down. Unless you've stored them properly (and that's not easy, especially with fried ones), day-old doughnuts are barely edible. If they're any older than that, frankly, they're not worth the calories. A freshly fried doughnut is a beautiful thing, but you probably won't have the pleasure unless you make it yourself.
A word of advice, though - I thought this was obvious, until I saw a friend eating a jam doughnut incorrectly. If you have a filled doughnut, look for the hole, and take the first bite there. If you bite into the doughnut just anywhere, there's a good chance the filling will squirt out of the hole.