Tents generally come with standard wire pegs which are perfectly fine for most campsites - whilst they are perhaps not the best tent pegs for all ground types it makes sense for manufacturers to include them.
Including a basic all-purpose peg keeps the tent price down, and if you choose to upgrade your tent pegs then your choice of peg will depend on the type of ground you are camping on. Many people choose to stay with the standard wire tent peg and get many seasons of use - their advantages are that they are cheap to replace if they do bend or are lost; they wipe clean easily and they are lightweight and easy to pack.
Rock pegs are designed for harder ground, they are essentially a large nail that is hammered into the ground with a mallet. They are very sturdy and difficult to bens, so are ideal where the ground is hard or has lots of stones that would bent a wire peg. They have either a cross-piece welded to them or a plastic head attached for securing the guy rope, and they also serve as a point to locate a peg-puller to remove the peg when you strike camp.
Screw pegs can be a labour saving device - the threaded shaft screws into the ground for a tight and secure hold - and they unscrew when removing, saving effort pulling out the pegs. Other tent pegs include lay-flat groundsheet pegs - designed for securing a groundsheet in place these have a flat or domed head that won't trip or stub toes.