Visualforce components:
It offers a wide range of tags that are fixed at the server-side. They operate along with custom or standard controllers and help in DB and other processes to be implemented easily. Being a page-centric web application model, it is the best option for basic functionality but lacks in providing the latest and dynamic user experience.
Lightning components:
They are the more advanced components of the Salesforce UI framework for building dynamic web applications for desktop and mobile devices. It uses JavaScript at the client-side and Apex at the server-side to offer the business and data logic. JavaScript is employed to develop, modify, animate, and transform the UI instead of replacing every page at a time.