Someone mentioned in a user forum that he thinks en dashes surrounded by spaces ( – ) look better than em dashes (—) in sentences. That's a matter of personal taste, but if you do go with the en dash, be aware that the en dash may wrap incorrectly when text reflows.
To avoid this problem, insert a hard space (Type > Insert White Space > Nonbreaking Space) before the en dash. A nonbreaking space essentially joins the dash with the preceding word.
Right. Additional tip to avoid having to go through the way too long menu with the mouse: learn the shortcuts for nonbreaking spaces and en-dashes. You might also use quick apply.