Hi Tom,
GTF
For lncRNAs and protein coding mRNAs, you can use the first choice, i.e., 'Comprehensive gene annotation - CHR '. However, you should be aware that this will also contain other transcripts of various other biotypes. Information on biotypes can be found here: https://www.gencodegenes.org/pages/biotypes.html
[Edit: the 'Basic gene annotation' also contains lncRNAs, but less isoforms - see comment trail]
The 'ALL' and 'PRI' equivalents of this should also contain lncRNAs and protein coding mRNAs, however, you likely do not require these files.
The Description field on the GENCODE website actually does a good job of explaining the contents of the files.
Reference FASTA
If your aim is to use a 'pseudo' aligner like Kallisto or Salmon, then you actually just need the 'Transcript sequences - CHR' FASTA. If, however, you are using a program that requires a genome FASTA, like HTseq, TopHat, HISAT, etc., then the best choice for most cases is 'Genome sequence, primary assembly (GRCh38) - PRI'.
Further information on the genomes here: http://lh3.github.io/2017/11/13/which-human-reference-genome-to-use
Kevin
I want to analyze tRNA fragments from small RNA sequencing samples. Which type of annotation file should I use? GENCODE includes tRNA.gtf, as well. Should I use it?
Why is this added as an answer to a 5 year old question? I'm moving it to a comment. Open a new question and in the future, add answers only when you're actually answering the top level question.