A PSD is a working file: a client, a printer's web form or a colleague without Photoshop cannot open it. A JPG of the flattened artwork can be viewed anywhere. Layers, masks and editable text do not exist in JPG, so keep the PSD for further editing.
JPG has no transparency, so see-through areas of a PSD are filled with a solid colour, white by default; you can change it under Options. The defaults suit most files. Under Options you can set the quality, aim for a target file size and resize the result.
The PSD is converted as one flattened picture, with its layers merged; files with more than 8 bits per channel are not supported yet.