From a user perspective, they're not much different. Both share the same technology and the same content, talking to each other freely. You can view Lemmy content on PieFed and vice versa. Collectively, they're all (together with Kbin/Mbin) called the Threadiverse.
PieFed experience is more curated, both on user level and globally. It allows you to quickly customize your feed, but it also makes some big global decisions for you - like blocking right-wing media on purely ideological grounds, on a software level (i.e. on all instances, aka servers). PieFed also has a few nice-to-have features Lemmy doesn't.
Lemmy is more of a wild west, a raw and less curated experience. All moderation here is instance-based, and you can do anything you want as long as it agrees with the instance rules. There are less cool features here, but also more freedom and decentralization.
Overall, there's no harm trying both and seeing what you like best.