HE in large explodes upon impact. Good for certain tanker hotspots, cargo etc. Softies and guns! Causes some collateral damage, so a direct hit to a gun isn't really needed.
AP penetrates the armour, and is good for below waterline shots (depending on the desired effect). Precision is desirable, as you don't want to waste the AP rounds.
Five-some AP rounds in a single spot below the waterline could probably send a C3 to the heavy listing.. I think.