“Sleep Mode” in Computers is a mode in which the display, disk drive and useless components shut down and once the system awakes it resumes itself from the same point as it was put to sleep. All the programs are resumed except non-resumable programs. It is also referred as energy-saving or Stand By or Suspend mode.
On the other hand Shut Down option will completely turn Off your computer.
It depends on you that which option you would like to go for. I would suggest that if you want to pause your computer few minutes or hours, then put it in sleep mode and shut down your computer if you are done with your work on your PC.