apt-get makes use of
dpkg to do the actual package installations. So in a sense they're "installing" to the same place.
I would always use
apt-get to do any package management since this is the tool that understands how to source packages from remote repositories and provides capabilities for searching the meta data related to packages either locally or remotely.
That being said there are times where you'll have to make use of
dpkg to perform queries against the system to find out information about the packages that are installed.
The major reason to use
apt tools though is for the dependency management. The
apt tools understand that in order to install a given package, other packages may need to be installed too, and
apt can download these and install them, whereas
dpkg does not.