Lifting a heavy weight that you can only manage to lift a few times is considered high intensity training. Lifting lower weights, but at high repetitions is considered low or moderate intensity.
High intensity training is usually only recommended for athletes and experienced weight lifters. It is a very effective method for obtaining strength and power gains. You are placing the muscle under maximum stress, and challenging it to its limit. This forces it to adapt much faster than using lower weights.
Because you are under such strain, you will only be able to make a few reps, but this is sufficient to encourage the muscle to grow. Your strength and power will improve significantly, however your endurance will not improve as much, because the amount of time that you are stressing the muscle for is relatively short.
You are building a body that is good at producing explosive short term power, but will tire out quickly. You are also at greater risk of injury following this method, due the sheer weight involved, and the fact that you are pushing your body far out of its comfort zone.
Lower intensities are more effective for building endurance, and have the added bonus of having a much lower risk of injury. You are not getting the same explosive strength gains as you would with high intensity training, but because you are placing stress on your muscles for longer periods of time you will reap a much higher level of overall stamina.
For most people, moderate intensities are recommended, they produce results and are safer. Ideally, you should strike a balance between building muscle strength and endurance.