No real performance difference between the two; just different designs. The slot type is similar to the PCI slot on your motherboard and takes a chip that's "imbedded" on a card--connections to the mobo are configured in a single line (like on a PCI card). The socket type is your standard "wafer" (lying flat on the mobo) with pinholes that the socket-type chip lines up with. If you go with the slot-type, make sure the mobo comes with a bracket to help stabilize it in the slot. As far as preference (have used both), I prefer the socket type; easier to work with. On the slot type, the heatsink/fan is pointing right at the DIMM slots. Put an extra large cooler on that, and sometimes it bumps into the closest DIMM slot. Don't have that problem with the socket type.
Desktop: Intel i7 960 CPU @ 4.0GHz, EVGA Classified 4-Way SLI mobo, 12GB Corsair Dominator-GT 2000 DDR3 RAM, Crucial RealSSD C300 256GB Solid State Drive, Two WD 2TB SATA drives, 2x EVGA GTX 570 Superclocked graphics cards in SLI, Coolermaster HAF X full tower case, OCZ ZX 1250w PSU, Corsair H100 CPU Cooler
Laptop: MSI GT60-004US, 2x Seagate Momentus XT 750GB SSD Hybrid drives in RAID 0, 16GB DDR3 1600 RAM, GeForce 670M 3GB graphics card, Networks 'Killer' N-1103 WLAN card