If you are having defined source you can use connected, source is not well defined or from different database you can go for unconnected.
Connected and unconnected lookup depends on scenarios and performance If you are looking for a single value for look up and the value is like 1 in 1000 then you should go for unconnected lookup. Performance wise its better as we are not frequently using the transformation. If multiple columns are returned as lookup value then one should go for connected lookup.   _{Your Comment}