I'm a visual learner, so I'll post some images to help out. Hopefully XS scuba won't mind I'm linking a pic from their site. I'm not putting these pics up to be condescending, but don't exactly know what your familiarity is with both connections; plus pictures help me illustrate
This is a reg with a DIN connection:
The O-ring for a DIN is captured inside a lip on the reg connection itself - so when it mates to the din valve on the tank - the o-ring is less likely to come loose (it's being forced farther into the groove in the reg). You'll also notice because it mates inside the tank valve so deeply, empirically, it would just seem that it's stronger. Like TeddyDiver pointed out, if you ever end up using a HP (High Pressure take - 3442 psi), I've only ever seen them used with DIN connections.
DINs also have two sub-categories, if you will, of connections - 200/232 bar (~3000 PSI) and 300 bar (~4400 psi). In reality, today the type of DIN has less to do with amount of pressure it will take, and rather the physical number of threads on the screw part of the valve and/or reg. 200/232 bar connections have 5 threads, and 300 bar have 7 threads. Just about all DIN regs are 300 bar, b/c they work with both 200/232 bar valves and 300 bar valves. The reason they do this is so you don't put a lower service pressure reg into a potentially higher service providing valve (too high a pressure on the reg parts, etc. if they're not designed for it). Again, most every new DIN reg I know of today is 300 bar, so it'll work fine with any DIN tank valve. I hope this bit wasn't as confusing as I think it is now that I'm re-reading it =X
The following is a reg with a yoke connection:
These are the most popular connection types for regs and tanks in the US and the Caribbean. I'd say 80% of shops / resorts use this type of connection, though some will have a tank that can do both. The yoke connection is just what we've always used, and similarly as with switching from Imperial to Metric, we're just stubborn

There's nothing wrong with yokes, but the o-ring is captured in the tank valve, and in my experience, is prone to more wear because of its exposure on the front of the tank valve (leading to having to replace it more often), and coming loose more often (can't explain it - but I've had bad luck with yoke valve o-rings. Whenever I rent yoke tanks for friends, I've had to replace o-ring on them at a rate of about 1/4 - although this could also be due to them being rentals :/).
The following is a pic (thanks XS

- if I need to edit this link out, let me know) of what's generally called a PRO valve:
It is a 232 bar DIN valve with a screw-in insert that converts the valve to yoke so it can be used by either type of reg, or filled at the shop if the shop can only fill yoke valves. This is what I have on all my tanks, including my doubles manifold, mostly b/c my wife has yoke on her reg and I have DIN on mine - so we can use them interchangeably.
If you get a DIN reg (which I personally prefer because I think it is slightly more secure and less of a chance of coming off in an overhead environment; but let me also say that there is nothing wrong with yoke - people have dived them for years), you will want to get one of these:
This is a din->yoke adapter for your reg. There's a female DIN thread on the end of the adapter for your reg to screw in to that converts your reg temporarily to yoke so you can use any yoke tank. This is the final reason I prefer DIN over yoke. It is much easier to convert DIN to yoke with one of these adapters, in my opinion, that to convert a yoke reg to DIN with a conversion kit (which means using pliars, wrenches, tools, etc. to remove the yoke connection and install a DIN).
To summarize, they are both serviceable worldwide, as TeddyDiver pointed out, and DIN are the standard in Europe, much like we use yoke as the standard in the US.
Good luck making your decision!