Import Wizard:

• For simple imports of up to 50000 records.
• It supports all custom objects and only few standard objects like Account, Contact, Leads, Solution.
• It supports schedule export.
• Delete operation is not available.
• It doesn’t require installation.
• While importing, duplicates can be ignored.

Data Loader:

• For complex imports of any size more than 50000 records.
• It supports all standard and custom objects.
• It doesn’t support schedule export.
• Delete operation is available.
• It requires installation.
• While importing, duplicates cannot be ignored.