When should I use baking soda and when baking powder?

The recipe determines which of the two should be used.  Baking soda will yield a bitter taste unless it is countered by the acidity of another ingredient such as buttermilk. You'll typically find baking soda included in  cookie recipes.
 
Baking powder contains both an acid and a base that together yield a neutral effect on flavor. Recipes that call for baking powder often call for other neutral-tasting ingredients, such as milk. Baking powder is a common ingredient in cakes and biscuits.
 
Manufacturers suggest it isn't wise to substitute one for the other. This is because baking soda needs to react in combination with an acidic ingredient such as cream of tartar or lemon juice to release the carbon dioxide that causes the baked item to rise. Baking powder, by comparison, already contains an acidic ingredient and is typically used in recipes that don't contain other acidic ingredients.
 
Some experts maintain that you can substitute baking powder for baking soda; you'll need more of it and it may affect flavor.  However,  they say, you can't substitute baking soda for baking powder. Other experts contend you can substitute baking soda for baking powder providing you add an acidic agent to the recipe. Alternatively, you can make your own double-acting baking powder if you have baking soda and cream of tartar on hand. Simply mix two parts cream of tartar with one part baking soda.
 
Source(s):
Arm & Hammer "FaQ" 
About.com "What Is the Difference Between Baking Soda & Baking Powder?"
Wikipedia.com "Sodium Bicarbonate"