query
runs a standard SQL statement and requires you to properly escape all data to avoid SQL Injections and other issues.
execute
runs a prepared statement which allows you to bind parameters to avoid the need to escape or quote the parameters. execute
will also perform better if you are repeating a query multiple times. Example of prepared statements:
$sth = $dbh->prepare('SELECT name, colour, calories FROM fruit
WHERE calories < :calories AND colour = :colour');
$sth->bindParam(':calories', $calories);
$sth->bindParam(':colour', $colour);
$sth->execute();
// $calories or $color do not need to be escaped or quoted since the
// data is separated from the query
Best practice is to stick with prepared statements and execute
for increased security.
See also: Are PDO prepared statements sufficient to prevent SQL injection?