Data Loader:- 

1.The Data Loader tool is an external tool that can not only import and export data but also update and delete  functions are available .

2.The Data Loader supports up to 5 million records at a time to import and export the data.

3.The data loader is a desktop application and it is a more complex tool, so it is recommended for more advanced users.

4.The Output comes in always CSV( Comma Delimited) format, because data loader always support .csv format data.

5.Export and Export all functions are available in data loader.


Data Import Wizard:-

1. With Data Import Wizard, you can import up to 50,000 records into Salesforce. 

2.The Data Import Wizard supports some standard objects, including contacts, person accounts, leads, and  solutions, as well as custom objects.

3. The Data Import Wizard  allows you to easily import and export data.

4. The Data Import Wizard cannot support the delete operation

5.The Data Import Wizard only supports importing and exporting data.

6.Cannot support Export and Export All functions in Data Import Wizard.