Well, there's no such thing as $_GLOBALS -- I assume you mean $GLOBALS (no underscore!).
The reason you'd store variables in one and not the other basically boil down to one question: Do you need the value of these variables to persist across page requests?
If so, you need sessions. That's what sessions are.
If not, store the variable in whatever place is most appropriate. If you're within function or class scope, you typically don't store stuff in global scope. Store it locally within that class or function.