Captivate 5 removed the need to answer this question: it only publishes in ActionScript 3 format, and correspondingly limits the compatibility of the published SWF file in certain situations as described below.
But if you are using Captivate v. 4 or earlier, you may still be wondering which to choose.
First, are you going to embed the published SWF into a Flex, Articulate, Flash or other project? If so, you need to determine what format the container file will be using. Adobe AIR and Flex support only ActionScript 3.0 whereas Adobe Flash supports both ActionScript 2.0 and ActionScript 3.0. Articulate Presenter requires ActionScript 2.
Also consider your target audience. ActionScript 3 can only be played on Flash Player 9 or later. If your audience can't upgrade their Flash players, AS2 may still be more compatible.