The obvious difference is that when stored in memcache(d) data becomes available cross the system. Sessions store data per user, though, session_id() could theoretically be used to share this data with more users.
However, in terms of performance, speed and memory usage – is there a difference?
PHP sessions are stored in the filesystem by default. You can modify this behaviour so that they are saved in a database, or in your case memcached.
So in terms of performance, memcached is generally faster than the filesystem. This obviously depends on your environment.
See session_set_save_handler