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ould “integrating into my site” not also just be parsing the xml with php or javascript?
Yes, you could parse it in PHP or Javascript. However, it requires much more code, it'll be harder to update, it'll reduce the readability or your code, it'll be language dependant (if you switch from PHP/Javascript you'll need to recode it) and more than likely it'll be less efficient.
im not quite sure when to use either technique
As a rule of thumb, if you are transforming a document (ie converting from XML to another type of XML/HTML document), use XSLT. It you are trying to retreive data for use elsewhere in your application (eg. placing the data in a databse), parse it with the XML DOM.