There four EAP 4.3 downloads are:
1) Application Platform 4.3.0.GA zip - binary zip file (this is what you want)
2) Application Platform 4.3.0.GA zip - the source zip file (unless you want to compile the app server from scratch, or like looking at code, ignore this)
3) Application Platform 4.3.0.GA installer - similar to the binary zip, but packaged as an installer
4) Application Platform 4.3.0.GA docs - the documentation (you want this)
Personally, I prefer using the binary zip over the installer. As far as I can tell, the installer produces the same set of files that you get if you unzip the binary zip, and then does a few extra things: it adds an entry to the Start menu (Windows and KDE); and it makes some tweaks on the configuration files (mainly security related). Now if the installer actually would set up the app server to run as a service the installer would be worthwhile, but you still have to do that yourself.
The other two entries you listed are the 4.2 version of EAP (CP01 and CP02 are essentially service pack 1 and 2, with each providing additional fixes). The primary difference between EAP 4.3 and 4.2 is that 4.3 contains JBoss Messaging instead of the older JBossMQ found in 4.2.
Thanks for your help Peter.