It depends on what kind of application you intend to make.
Generally using 16bpp is faster, although I don't know how much speed you gain compared to 32bpp.
If you are going to make a simple application or game that don't use that much fading and such i would go with 16bpp.
I have to say tough that i find pixel-per-pixel manipulation to be a little bit simpler when using 32bpp, but that could be just me