Short answer: You should always use some type of epoxy primer whenever you go down to bare metal, as epoxy primer goes along way toward the prevention of rust. Whenever you spray epoxy primer, you must use a charcoal type mask or better or you will be coughing for quite awhile.
Filler primer (aka primer-surfacer) is what you spray on and sand off while you are doing bodywork.
Longer answer: For the best results, you should strip (chemically or mechanically) all of the sheet metal down to bare metal, as you never know for sure what lies beneath. When everything is down to bare metal, spray epoxy primer according to the specific brand's directions. After the appropriate drying time, spray a couple coats of filler primer. Do whatever body work you need to do, prime with more filler primer, sand, and repeat until the body is as good as you want it. Then apply sealer, then paint.
Dennis W. Parks
Author of automotive how-to books