Both are used to denote candidate keys for a table.
You can only have one primary key for a table so would just need to pick one if you have multiple candidates.
Either can be used in Foreign Key constraints. In SQL Server the Primary Key columns cannot be nullable. Columns used in Unique Key constraints can be.
By default in SQL Server the Primary Key will become the clustered index if it is created on a heap but it is by no means mandatory that the PK and clustered index should be the same.
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