Best bet is to listen to Youtube clips or this fabulous string comparing matrix http://www.hervejeanne.de/saitenmatrix.php
In short, steels have more definition, growl and sustain and take lower action - guts have a warmer, thumpier more old-school quality and generally are very low tension (requiring higher action). Guts also tend to go out of tune (especially if humidity or temperature changes) and require more care/attention (oiling, clipping off hairs that form with repeated playing). There are huge advocates of each.
Velvet strings are a sort of half-way house (copper wound, dark-sounding, low tension) and there are several good brands of gut-alike hybrid strings (eg, Innovation) which have many of the qualities of gut but are easier to maintain