Yes, Julia vectors are basically like python lists.
It's hard to answer without more information. Is this related to your other, self-answered post, where you mention adding and deleting elements?
If so, a Set is the better choice for anything but small arrays, as deleting from the middle of a vector is inefficient for large vectors.If insertion order is important, an OrderedSet (in the DataStructures package) might be useful. It will be slightly slower than a Set, but more efficient than deleting from an array.
If you want performance, you will always need to test your actual use case. Kevin's remarks are the same I learned in my algorithms course, but he does not specify the size where the difference shows. On large problems there might be other effects dominating the runtime than what you think. I think I remember someone doing performance testing on random inserts and deletes on C++ STL Vector and List. The result was that vector was faster for all the problem sizes they tried, because indexing on a the list was more costly than moving all the elements in the tail of the vector.Often it is smart to first write a version that is correct, and then use profiling to find what makes it slow. When you know what is slow, and have a correct version to test against, you can try alternative implementations to see if they are faster.