The main difference is that Bali is an island and Thailand is a big country.

What to do in Thailand:

If you want to party hard all night long and meet beautiful girls (or boys) then your best bet is Bangkok.
If you want to admire waterfalls, grand canyons, hot springs, bamboo bridges, etc. than head to Pai, Chiang Mai or Chiang Rai.
Looking for beaches and islands go to Southern cities, for example to Pattaya.

Not very cheap.
Very good shopping in Bangkok and pretty decent in other cities.

What to do on Bali:

Bali has amazing beaches and luxury hotels.
Water activities, snorkeling, diving etc.
Cheap.
No good shopping.

To crown it all, I personally would recommend Thailand. It is really amazing!