They're pretty similar, but the USB GDROM has the advantage of supporting larger cheaper and faster storage. USB thumb drives are cheaper and more obtainable than SD Cards.
Menu's between the two are pretty much the same.
The GDEMU supports two additional image formats, CCD+IMG+SUB and MDS+MDF while the USB GDROM only supports GDI, ISO, and cdi.
The USB GDROM supports long file names while the GDEMU doesn't.
I personally opted for the USB GDROM for the USB storage support, and store practically the entire library on a 256gb thumb drive. The thumb drive cost me $60 on amazon.
edit: here's a funny little comparison image between the two.
http://3do-renovation.ru/comparation.htm