It's better to use StringBuilder (it's an unsynchronized version; when do you build strings in parallel?) these days, in almost every case, but here's what happens:

When you use + with two strings, it compiles code like this:

String third = first + second;

To something like this:

StringBuilder builder = new StringBuilder( first );
builder.append( second );
third = builder.toString();

Therefore for just little examples, it usually doesn't make a difference. But when you're building a complex string, you've often got a lot more to deal with than this; for example, you might be using many different appending statements, or a loop like this:

for( String str : strings ) {
  out += str;
}

In this case, a new StringBuilder instance, and a new String (the new value of out - Strings are immutable) is required in each iteration. This is very wasteful. Replacing this with a single StringBuilder means you can just produce a single String and not fill up the heap with Strings you don't care about.