Depending on the payload use LXC Containers or KVM VMs. Like @rimelek already wrote: if you need GPU access then probably LXC containers might be easier to manage, unless you have a dedicated GPU which can be assigned to a vm.
Proxmox is a Hypervisor, and I highly recommend keeping it vanilla and cleanly separated from the payload you want to run. I have three Proxmox hosts in my home lab, with many KVM VMs, and a few LXC containers. Though, I don’t use a GPU in any of them.