As for legality, it depends on your state laws. Some won't allow you to use ANY aftermarket lights on the road. It's pretty rare for such laws to be enforced, though, unless you're driving around in traffic, blinding the bejeezus out of other drivers.
What to use depends on what you want out of them. If you live in an area where fog is prevalent then a quality set of fog lights would be a good idea. I live in Colorado and drive sometimes in snowy/foggy conditions where fog lights work great. On the other hand, if you want to race around the desert at night, some good long-range driving lights will be much better. Many off-roaders like flood beams aimed forward and to the sides--the better to see all around when going slow off-road at night.
So, think about how you're going to use them, when your stock headlights seem inadequate, and that will tell you what kind of lights you need.