Sport boots are a matter of personal preference, so you are going to get a lot of answers to this question.
Personally, I like to use Professional's Choice SMB 3 sport boots on all four legs, plus ballistic bell boots on the front legs. SMB3 Sports Medicine Boots Professionals Choice Ballistic Overreach Boots
Some people prefer to use polos because they feel they cover more of the leg than a boot does. There's really not a right or a wrong opinion.
Sport boots will provide more support than a polo wrap (and certainly more than a splint boot which provides no support), but sport boots don't absorb as much shock as the companies claim (I've read the actual studies myself), but they do help to support a little bit.
You definately want to get a name-brand sport boot such as Classic Equine, Professionals Choice, Iconoclast, etc. They are expensive, yes. But they hold up for years of use, if you take care of them. Plus they are relatively inexpensive when you would compare it to vet bills from an injury. Just do not buy the cheap $20 boots. They do not fit well and they are garbage.
Yes, as JustDressageIt said, sport boots will build up heat inside of them. It says right on the label for the boots that they should be worn no more than 2 hours. Which is true, because they do build up heat which is not good on tendons and ligaments.