I only own the SPD-S and haven't used it as much as I should.
AFAIK they are both very similar in basic features but there are some advantages to the SPD-SX.
The first is the max memory: SPD-S with Compact Flash 512mb cards vs SPD-SX 2GB internal memory
Built in Click track. On the SPD-S you have to import stereo files with the click recorded on one of the stereo channels.
SPD-S has no computer connectivity. SPD-SX has USB connectivity for direct triggering vs hooking up the SPD-S to a MIDI interface via MIDI out. This is pretty significant for some. There's also mention of a 'Wave Manager' program for manipulating sounds on a connected computer.
Here's a good article on the newer model