Need Help Choosing Parts

Great question. There are many differences.
The connection is also very different. SATA and M.2 are not compatible connection types. Other than connection type, speed is the biggest difference. Here's a list of typical speeds for comparison.

• 5400 RPM HD: Read 105MB/s and write speed 100MB/s
• 7200 RPM HD: Read 130MB/s and write speed 120MB/s
• 2.5 SSD: Read 500MB/s and write speed 300MB/s
• M.2 SSD: Read 3500MB/s and write speed 2700MB/s

I would recommend M.2 SSD over the 2.5". You don't habe to worry about cable management and the speed of M.2's as seen above are typically much faster! 
The price difference between the two has really minimized compared to how it used to be. Really, there's no reason not to go M.2 if your motherboard supports it. It's a great choice to make!