No tl;dr. I spent 20 mins writing this so you can bloody well read it
Hopefully you know that EU travels in packets of a certain size. So to move 1024EU from a batbox to a machine using copper cable, it's broken up into 32 separate packets of 32EU. Using gold cable it's 8 packets of 128EU or just two packets of 512EU using glass cable. A power source can only produce one packet per tick (1/20th of a second) so sources with higher voltages can move EU more quickly because they move more EU per tick. OK, that's the basics out of the way.
All cables lose a certain amount of EU per packet, per block travelled.
Insulated copper loses 1 EU per 5 blocks. So if you have a batbox or transformer every 5th block (only 4 bits of cable between the batboxes), you lose only 4 x 20% of an EU which is rounded down to zero EU. You never lose anything. But if you ran, say, 30 blocks of insulated copper you'd lose 6EU from each of those 32EU packets. So if you sent 20,480 EU (split up into 640 x 32EU packets), you'd only receive 16640 EU total at the other end. Also it'd take 640 ticks (32 seconds) to move it.
HV Cable (aka Iron cable) has the highest loss per block. When properly insulated (HVx4) it can handle Extreme Voltage (EV) of 2048EU per packet. It loses 1EU per packet per 1.25 blocks. So the same 20,480 EU will be moved in only 10 packets. Each packet loses 24 EU over the 30 blocks. This is a much higher loss, per-packet, than copper cable BUT because the packets are so big there are not many of them so the total loss is less. Only 240EU (30 blocks / 1.25 x 10 packets) is lost over the 30 blocks. So you're left with 20,240 EU at the destination.
Gold cable (MV) fits in between copper (LV) and iron (HV) cable.
That's the basics. Higher voltages are useful for reducing the loss of EU over longer distances. This is exactly how it works in the real world. The power lines way overhead on the big towers are 11,000V compared to the 110-240V in your wall socket.
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Glass fibre cable throws a bit of a curve ball. It breaks the Copper-Gold-Iron progression because for its relatively high carrying capacity, it has Very low loss over distance. It loses only 1 EU per packet for every 40 blocks and can handle 512EU packets. So let's do a comparison in the name of SCIENCE \o/
Let's say we have 10,000,000 EU (a full MFSU) to move over a distance of 300 blocks (from your reactor in town to your Fortress of Solitude out in the hills).
Glass Fibre
10,000,000 EU becomes 19,532 packets of 512 EU
7.5 EU lost per packet over 300 blocks. Rounding up to 8 EU.
156,256 EU total loss.
10M EU sent, 9,843,744 arrive in 977 seconds (16.3 mins).
HVx4 Cable
10,000,000 EU becomes 4,883 packets of 2048 EU
240 EU lost per packet over 300 blocks.
1,171,920 EU total loss.
10M EU sent, 8,828,080 arrive in 245 seconds (4 mins).
So what do we learn from all of the above?
In Copper, Gold and Iron, the higher tier cables can move power more efficiently. For most cases, the resource costs of the transformers is negligible. However Glass Fibre is so efficient that it's probably the best for the majority of cases. The only time that you'd want to use Extreme Voltage would be if you needed to get a Very Large amount of EU over a long distance in a real hurry. I can't think of many situations where you'd need to do that. Teleporters or terraformers perhaps?
I use glass fibre for almost everything I do. As yet I haven't needed to run cables more than 40 blocks.
Anyway, I hope that helps.
If you would like the official description, it's here on the Wiki
http://wiki.industrial-craft.net/index.php?title=Cable
edit: Tweaked the explanations and formatting for greater clarity.