Statistically, headshot do more damage, and the head is usually less protected at lower levels. Also headshot can knock soldiers unconscious and lower their ability to spot.
Shooting the arms might cause the enemy to drop his gun and lower their accuracy.
Shooting the legs can knock enemies on the ground.
Torso shots are easier to carry out and reduce stamina as well as health.

Basically, for the most part you'll want to go for headshots, since even the best helmet does not protect as well as bodyarmor, or body shots if the target is away.
However, sometime the enemy might be behind some sort of cover that makes it hard to hit him in specific areas: for example, if you want to hit an enemy crouching behind a rock, the head might be the only area exposed, and as such you will have a higher chance of hitting him targeting there instead of the torso, and the legs will be impossible to hit.
Sometimes an enemy might be carrying a particularly dangerous weapon, in which case hitiing him in the arms or legs might be preferable since it gives you a chance of either having him drop the weapon, or knocking him down, so that he will be unable to shoot and will have to burn APs to get up or pick the weapon. Also the most protected locations at higher levels are usually the torso and the head, so if you have HP or Glaser rounds, you might want to target the arms or legs so that you will do more damage.

Personally I tend to go for headshots if I have a high chance of hitting, otherwise I'll tend to go for limb shots. The only reasons I might want to target the torso are when any other location is too hard to hit, or I have a weapon set on Burst of Auto fire, so as to improve the chance that all the bullets hit.

Edit: check that, you can't aim at arms. It's been a while since I last played and I was sure I could, but it's semi-random wether you hit an arm, a shoulder or the torso.