THe biggest differences are:
A) Theoretical max transfer speeds: SATA is way faster than others
B) Cables are thin, narrow, flat and much smaller, and both ends use the same connector
C) No master/slave config necessary, it's all the same to SATA
D) Power connector is also smaller & more efficient, although current aftermarket ones just go from molex to sata with an included adapter. Systems with built-in SATA have the right connectors from the PSU already
Also, the newest version, SATA II or eSATA, is out now and doubles the theoretical max throughput.....
Since SATA is the new thing now, probably in about 6 months or so, it will be really hard to find a pre-built system without SATA, so if you are building a pc from scratch, you should get a mobo with it onboard and HD'Ds to match. If you look hard, you can even find a few high-end optical drives with SATA connections too
The good thing is, if you have an older system with a free pci slot, you can add an SATA controller card & drives & get most of the speed boost from it NOW......and still keep your old PATA/IDE drives too !