Cavity Milling is a volume removal process. It uses the solid bodies, Blank and Part, to remove the material in planar cut levels.
Face milling you select a face to mill, fairly simple
Planar Milling uses Boundaries to contain the tool path, Faces, Edges or Curves. You can have Multiple depths of cut and step-overs similar to Cavity Mill but it is totally dependent on the way the boundaries are defined. More complicated than face milling but much more control over the resulting tool path.
It really depends of your experience and what the final result needs to be.
Like anything else in NX there are almost always multiple ways to accomplish the same task.
John Joyce
Manufacturing Engineer
Senior Aerospace CT
NX 10 & 11.0.1 Vericut 8.0.3