This depends on what your target is... are you rendering for youtube? DVD? Blu-Ray? Archival or to send to another editor/colorist/VFX artist? There are different formats, some of which suit different output targets better than others.

To render audio with video together, pretty much ever render format does this automatically when you click "render as" and select a render preset. A good general-purpose codec is Magix AVC, if you want good audio, increase that to its max bitrate in render settings.