Charcoal is made by burning wood in the absence of oxygen, and lump charcoal is the product of that. Most purists prefer lump charcoal as it is charcoal in its most natural form. It lights faster, burns hotter, and leaves very little ash compared to briquettes. Being more responsive to oxygen makes it easier to control the fire's temperature if your grill has adjustable air vents.
When looking for any fuel to cook your food on look for quality. There are good quality natural briquettes like Hot Nuts which is made from 100% compressed natural coconut charcoal so you don't have to deal with the nasty additives.