According to the PHP manual:
The PCRE functions "support non-greedy matching, assertions, conditional subpatterns, and a number of other features not supported by the POSIX-extended regular expression syntax" (i.e., ereg).
The POSIX-extended regular expression functions are not binary-safe, unlike the PCRE functions.
The PCRE functions are "often a faster alternative to" their POSIX-extended equivalent.
Additionally, in PHP 6, the plan is to move ereg to PECL (i.e., the POSIX-extended regex functions will not be available by default), whereas "the PCRE extension will not be allowed to be disabled".
In short, prefer preg to ereg.