The difference between threading and tweezing is that threading is done line by line- while you can pick out an individual hair, you can pick off a whole bunch of them as well. Its much faster, and a lot less painful.
Also, for some reason (someone else maybe able to give more info here) I don't seem to get as many problems with ingrowns etc with threading.
And you get a much better shape out of them- though that's probably my ineptitude at tweezing, more than anything else.