i guess it's kinda like why are there so many types of tires...
all dynos have different ways of reading power. as long as you use the same shop for dyno runs (or at least the same brand of dyno) you should be able to get decent tuning results. personally i think dynos are overrated because they dont reflect gear changes and the machines themselves can be altered to skew results.
they are, however, useful for finding peak power so you know when you shift and a good idea of about how much power your car puts out.
SAE stands for "Society of Automotive Engineers"
the SAE standard for dynos skews your dyno results to try to make dyno runs at different temperatures, humidity, and barometric pressure comparable. so if your car put out 200 HP (actual HP) when it was 100* outside with 90% humidity, it would register higher (theoretically) because the SAE standard is like 74* with lower humidity (something close to that-i dont have exact SAE specs)
dynojet seems to be popular.
also keep in mind that different rear gear ratios will change the results.