Unicode is a standard which maps the characters in all languages to a particular numeric value called Code Points. The reason it does this is that it allows different encodings to be possible using the same set of code points.
UTF-8 and UTF-16 are two such encodings. They take code points as input and encodes them using some well-defined formula to produce the encoded string.
Choosing a particular encoding depends upon your requirements. Different encodings have different memory requirements and depending upon the characters that you will be dealing with, you should choose the encoding which uses the least sequences of bytes to encode those characters.
For more in-depth details about Unicode, UTF-8 and UTF-16, you can check out this article,