Power Spectral Density vs Energy Spectral Density for Discrete Signal
Energy spectral density is mostly applied to time-limited signals. In such cases, energy is finite, and average power (throughout all time) is zero. These signals are not stationary.

Normally you work with (or model your signals as) stationary signals. These have constant power (and infinite energy). Power spectral density applies to stationary signals, and is defined as the Fourier transform of the autocorrelation function.