Here are your options:
This special Page is where you'll insert the Payment Button(s) generated for you by s2Member (or Pro-Forms; if you're running s2Member Pro). This Page serves as your lead-in signup page (i.e., you'll give visitors one or more registration options here, and they'll pay for the option they choose).
Your Membership Options Page should detail all of the features that come with Membership to your site, and provide a Payment Button (or Pro-Form; if you're running s2Member Pro) for each Level of access you plan to offer. This is also the Page that anyone could be redirected to (by s2Member), should they attempt to access an area of your site that requires access to something they're currenty not allowed to view.
Tip: If you allow Open Registration (i.e., Free Subscribers), you might want to place a link on your Membership Options Page, which points directly to your free Registration Form, instead of routing a Customer through your Payment Gateway first. It's a matter of preference though.