The main difference is that Sephora is more high-end...ULTA has the fragrances and the salons and all the accessories and the expanded lines for most things, whereas Sephora has the really good store brand and a lot more high-end makeup (Dior, Hard Candy, Lancome). Both have the fragrances.
If I had to go to one though, I would go to Sephora because of the in-house brand.
Sephora would get higher ratings overall from me. I just enjoy shopping there more. They have more luxury brands, you can test more of the products, you can usually get more interaction and consultation-style help form the sales associates. It's just a nicer store too.
Ulta does have it's plusses though. They do carry some brands I haven't seen at sephora, they have the extended lines of drug store brands, they offer salon services (although I don't use them, the point is it's available which is nice to know), and I think they have a wider product mix, meaning more hair and body stuff and tools, whereas sephora predominantly carries cosmetics and skincare and only a little of the other stuff.
Also Ulta is less than half the driving distance from me as Sephora so I go there more often. If they were both equal distance from me though, I'd choose Sephora over Ulta. Unless it was something minor or from a cheaper brand that I needed.
Good things come to those who shop.
To me, Sephora is like heaven on earth. I walk in and am instantly happy. As far as fragrance and makeup are concerned, they have everything that I prefer to wear (such as Nars and Bare Minerals). I could spend hours in there just walking around, smelling shampoo, checking out colors, etc.
Ulta is more convenient for me if I need to do a quick run for something like lotion or shampoo. I get coupons in the weekend circulars too, so it is also more economical for me to get products in there sometimes.
Basically, Sephora is all about a more luxurious fun experience, IMO. Ulta is just a convenient way to restock on things I need.