There are different types of virtual disks depending on the provisioning method, pre-allocated or dynamic. The type of virtual disks are mainly the same since vSphere 4.0:

• Eager zeroed thick Virtual Machine Disk (VMDK): An eager zeroed thick disk has all space allocated and wiped clean of any previous content on the physical media at creation time. Such disks may take a long time during creation compared to other disk formats. The entire disk space is reserved and unavailable for use by other VMs.
• Thick or lazy zeroed thick VMDK: A thick disk has all space allocated at creation time. This space may contain stale data on the physical media. Before writing to a new block, a zero has to be written, increasing the input/output operation per second (IOPS) on new blocks compared to eager disks. The entire disk space is reserved and unavailable for use by other VMs.
• Thin VMDK: Space required for the thin-provisioned virtual disk is allocated and zeroed on demand as space is used. Unused space is available for use by other VMs.

You can choose the disk provisioning type during virtual disk creation, but you can change the type using a cold VM migration across two datastores, or using Storage vMotion (if you have at least ESXi Standard edition). Note that you can also change the type of each individual disk, by choosing Configure per disk on the new HTML5 client shown as follows:

There is no significant difference in performance for sequential I/O between the different types of virtual disks. For random I/O, thin VMDKs have the worst performance and higher latency (for lazy thick, it depends if you have to write a new block).