So got new brake pads and discs from the garage. Noticed that when I am not breaking they will squeak with the rotation of the wheel. When I brake slightly it will stop. I've not had this happen to me before. Sometimes the noise goes away. It's not a constant noise, but like with each rotation of the wheel I hear a squeak. Should I take it back to the garage or?

Its probably your brake back plate just touching the disc, yes get them to check their work. 

Probably didn't use copper grease on the back of the pads or didn't wind back the pistons fully.

The brake callipers may not have been cleaned properly or as above brake grease or copper slip not added to the back and edges of the pads. The pads and discs may also need time to 'bed in'. 

If not done already, I would go back hand have them checked again.

Raise the affected wheel, and make sure it still turns freely.  Fitting new discs and pads will push the pistons back into the caliper.  It's possible (I know because it happened to my missus) that the rubber boot has been leaking, and a rusty part of the piston is now restricting the free movement of the piston in and out, in which case it is binding on the disc, and therefore always slightly being applied.  It's true that pads are always slightly rubbing the disc (they just sort of rock in and out while held by their rubber seal), but they shouldn't do it so much that you can hear it.  It's also possible (if unusual) that the new disc isn't completely flat.  You would need to take the wheel off, and hold some kind of pointer next to the disc and make sure that it doesn't appear to wobble in and out as you rotate the wheel.