Well, it matters. If you use KeyUp then you'll have to deal with also getting the KeyPress event for the Enter key. Which, it not intercepted, produces a nasty BEEP to slap the user. Boilerplate is to always use KeyDown so you can stop the KeyPress event from firing:
private void textBox1_KeyDown(object sender, KeyEventArgs e) {
if (e.KeyData == Keys.Enter) {
e.Handled = e.SuppressKeyPress = true;
// Something special ...
//...
}
}
The SuppressKeyPress assignment prevents the KeyPress event from firing.
Do keep in mind that handling Enter is normally fairly gauche and indicates that you might be trying too hard to make your GUI resemble a console mode app. What Enter is supposed to do is operate the default accept button on a window. Supported by the Form.AcceptButton property. The Escape key is special that way as well, it operates the Form.CancelButton button. Only truly meaningful things to do for a dialog-style window however.
If used on a regular window then the typical problem is that the user has no idea that pressing the Enter key is what he's supposed to do. He'll mouse to another textbox and completely miss the intended usage of your UI design, that's a problem with discoverability. You can't do the equivalent of ToolStripMenuItem.ShortcutKeyDisplayString in this case.