Train to Dijon

Somewhat expensive, reserved TGV trains depart almost hourly from Gare de Lyon and take 1.5 hours; cheaper if booked in advance. A few slower, cheaper, unreserved, direct TER (regional) trains run from Gare de Bercy, nearby, and take 3 hours. Second class is fine for us in either case, but on the Duplex TGV, first class might be on the upper level with a better view. See www.oui.sncf or outside ticket agents like Rail Europe and Train Line.

For schedules for most of Europe, Looking Up Train Schedules and Routes Online gives you the Deutsche Bahn train schedule link and tips for using it. (Does not sell train tickets for your route.)

Lorie,
I think the answer is "the one that goes at the time you want to travel".

As Laura says, there are regular trains, and they ll take about the same time. And they are all the same model of train, apart from the number painted on the side they are identical.
The only variation is you can save money by buying early (which fixes which train you are taking), or by getting one of the slower trains on the old (not High Speed) line that makes many stops.

First class is unnecessary. Both the 1st class and 2nd class portions of the train get there at the same time ☺
For the TGV's your ticket includes a reserved seat, so that is no issue.