I've used Hershey's Special Dark, and regular hershey's powder in both wines and beers. I've had the best luck adding the powder to a little bit of water or vodka in a blender and blending the crap out of it. It doesn't like to mix into room temperature liquid, especially if it's the regular kind.
Another idea that I've been meaning to try is to add it to hot wort as it's cooling. I would be careful adding it to the boil because the flavor tend to be delicate, but I've notices when cooking with it (making fudge) it really starts to dissolve around 140F.
The major difference between the powders is the special dark is dutched cocoa and the regular is natural. The dutched dissolves much easier, is less bitter and has a more delicate chocolate aroma and lighter taste. The natural cocoa is much harder to dissolve, is more harsh and bitter, but has a richer chocolate taste.