Either one will cost you a one stroke penalty, but there are differences in where you may take your drop.
For a yellow or direct line water hazard you may drop the ball anywhere behind the spot that the ball went into the hazard as long as that spot remains in line between you and the hole.
For a red or lateral water hazard you may drop the ball within two club lengths of the spot the golf ball went into the hazard, or you may drop the ball within two club lengths of the opposite side of the hazard as long as that point is no nearer to the hole.
The main thing to remember is that at no point can you drop closer to the hole than the point the ball crossed into the hazard.
Better Golf... Through Knowledge!