Extra fine is better for baking, etc. More info>>>
From Rose Levy Beranbaum:
Regular granulated or fine granulated:
This is the all-purpose sugar found in most sugar bowls and available in all supermarkets. This granulation is suitable for making syrups, but for most other baking a finer granulation is preferable. The term fine granulated is not to be confused with superfine which is much finer.
*Extra-fine*:
Available commercially, this sugar is also known as fruit sugar because it is used in the preservation of fruits. Most professional bakers use this granulation as their all-purpose sugar if they can't find baker's special. When used in cakes, it results in a fine crumb and lighter texture because, with smaller crystals, more surface area is available to trap air.
In the creaming process, the sharp or angular surfaces of the sugar crystals catch air. If the surface were smooth, as with powdered sugar, the grains would just clump together and not allow air in between. The more crystals there are, the more air will be incorporated.
Cookies made with extra-fine sugar are smoother and have fewer cracks. Finer sugar also dissolves more easily and makes lighter, more delicate meringues.
http://www.realbakingwithrose.com/2005/12/sugar.html