Dubbed means that the show, more specifically the voice acting, is recorded in a different language other than the original. Most commonly referred is English dubbing.
Subbed refers to a show where the audio is in the original language, and has subtitles for the viewer to read as they watch, translating the dialogue into a language in which one can understand.
Some anime only come visible in subbed format, especially if you are watching it on Crunchyroll. However, certain studios will stream their media in dubbed form on their websites, such as Funimation and Aniplex.
Which should you watch? All a matter of opinion. Some people enjoy the original audio for its accuracy and how one can relate to the show, some dislike watching subbed versions of anime because they dislike having to read the subtitles while trying to pay attention to the show itself, and many chose to watch dubbed anime because they have favorite voice actors and prefer the lack of hassle that comes with watching the show.
Whether you choose subbed or dubbed, it’s all a matter of preference. Mix and match, sometimes you may find that you prefer the original audio to a dubbed audio and visa versa, or maybe you like both on the same series?