Transaction in SQL Server

Hello Guys,

What is the standardized approach for using transaction in SQL Server?

I have a stored procedure that has multiple steps and i want those to be enclosed within transaction.

I googled the approaches and i found out the following types:-

1. This is the first way we can use transactions:-

CREATE PROCEDURE spNewStoredProcedure1
        @Parameter1 INT
BEGIN
      BEGIN TRANSACTION
      /* Step 1 */
      IF @@ERROR <> 0
      BEGIN
          RETURN
      END
      /* Step 2 */
      IF @@ERROR <> 0
      BEGIN
          RETURN
      END
      COMMIT TRANSACTION
END

2. This is the second way we can use transactions:-

CREATE PROCEDURE spNewStoredProcedure1
        @Parameter1 INT
BEGIN
      BEGIN TRANSACTION
      BEGIN TRY
      /* Step 1 */
      /* Step 2 */
      COMMIT TRANSACTION
    END TRY
    BEGIN CATCH

        /* Rollback the transaction */
        ROLLBACK TRANSACTION

    END CATCH
END

Which is the better way of using the transactions?

Is try and catch native to SQL Server or is it part of CLR integration.

Please tell me why one is better than the other.
Is there a performance benefit?
Please elaborate you answer.

Thanks in advance