URDF and SDF?

edit

While this document on Gazebo's web site should answer to the most/all of your questions, I would still comment to:

which one is better for which purpose (scene vs. robot, if that makes sense, even)

URDF is only capable of describing a single robot (i.e. no scene, no multiple robots).

or if one is being deprecated or something.

One of the core Gazebo developers said in 2014 that neither of them is deprecated, which I think is still valid as of today.

Should I be learning one or the other or both?

Though depending on your purpose, I think so in general. With a lack of SDF to URDF conversion yet, ROS tools requires robot description to be done in URDF.