after a while your unsealed headset is gonna start making nasty grinding noises unless you take care of it well
sealed is alot easier to maintain and its smooooooth. unsealed usually spin better, but sealed is definitely the way to go.
Sealed is better. The bearings are like the ones that go in the wheels, except bigger. They're a lot easier to use.
Unsealed has the bearing balls in a cage but they become loose and the headset breaks.
Sealed bearings are regular bearings only with seals that completely seal the balls from outside debris. Unsealed bearings are not covered by anything and are subject to being broken and worn out quicker. Sealed headsets spin smoother and are stronger where as unsealed headsets spin quicker and are a little bit weaker. Sealed are also usually more expensive.