They're different characters. \r is carriage return, and \n is line feed.
On "old" printers, \r sent the print head back to the start of the line, and \n advanced the paper by one line. Both were therefore necessary to start printing on the next line.
Obviously that's somewhat irrelevant now, although depending on the console you may still be able to use \r to move to the start of the line and overwrite the existing text.
More importantly, Unix tends to use \n as a line separator; Windows tends to use \r\n as a line separator and Macs (up to OS 9) used to use \r as the line separator. (Mac OS X is Unix-y, so uses \n instead; there may be some compatibility situations where \r is used instead though.)