Not all conference papers get peer reviewed, but most of the ones I've done have been. In my experience, conference papers have only been reviewed by one person. A journal paper, on the other hand, is reviewed by two people, who are exceedingly rigorous - and have demolished my papers on more than one occasion, requiring major rewrites. It's a lot harder to get an article into a journal than it is to a conference, at least a local conference. You should talk to your supervisor about all this, and see what they suggest, which journal articles are most appropriate, and to get their feedback on anything you intend to submit.
These are the main things to get onto your cv - teaching experience too, if you want to be an academic.