Sealants are generally 'man made ingredients' and waxes generally more 'natural ingredients'.
Waxes give a warmer look, and sealants a more reflective, glassy look.
Which you'd use, depends on a number of factors, such as required durability, colour of car and sometimes time of the year.
Generally, sealants give a better finish on lighter metallics and whites and waxes give a lovely glow to reds and dark colours.
What do you use at the moment?