GC is spot gold. YGG8 is feb'08 NYMEX gold futures. ZGG8 is feb'08 CBOT gold futures.
I thought of trading the NYMEX gold initially because it's the biggest market. However, NYMEX uses pit trading during the day and electronic at night. Whereas CBOT uses electronic exclusively. I'll be using CBOT from now on because slippage and fill time may be better, and it seems to be the favoured market for day traders. The exact reasoning is not clear to me at the moment.
Also, I'm using feb'08 because it has the largest volume at the moment. It's just not too far and not too close enough in the future to be desirable.