HOB are more affordable and noisier, and in most cases don't hold as much media.
Cannisters are more expensive, quieter, hold more media and are much easier to clean. You just turn it off, unplug the hoses and take the filter where you want to clean it.
I have aqua clear HOBs and a Rena cannister, love 'em both. If I had the money I would only have cannister filters, though.
Pretty much what was stated above.