You will be directed towards, and become friendly with, Gerdur, Ralof's sister in Riverwood, providing you with a house in which to sleep and free access to some limited loot. You will have the opportunity to take and wear Heavy Armor early on (taken from the first pair of Imperials you battle after getting your bindings removed,) but it will be a little longer until you get easy access to a Two-Handed Weapon. Really, though, anything you pick up at this early stage is highly likely to be replaced once you start exploring properly - particularly if your questing takes you to the nearby Bleak Falls Barrow - and neither choice affects later quests in any major way, so don't lose any sleep over the decision. You'll likely pick up a level or two in your chosen skill(s) before you get out of that cave under Helgen. If you plan to wear Heavy Armor and use One-handed Weapons, Ralof's a good choice - but if you plan to start levelling Smithing and/or use a Two-Handed Weapon, Hadvar may be preferable. Roleplay/story factors aside, the main gameplay differences between the two are the gear you'll get access to during the Unbound quest, and the amenities and items you'll get in Riverwood.

Skyrim se the choice is yours