I don't have a Gi, but did help someone to setup his Gi to a notebook (Sonar LE).
USB to USB - enables both midi and audio, Gi act as an audio interface, good option if you don't already have one (not those built in PC sound card, but more for recording application, such as the Roland Quad capture).
NOTE : I'm not sure, but I think you can also enable just MIDI data over USB-to-USB cable - so that would make MIDI-to-USB cable redundant.
MIDI - use this if you have a MIDI only interface (such as an M-Audio MIDI sport) and already have an audio interface.
I'm guessing, if you only have the Gi and computer/notebook, USB to USB would be the one you're after.