Welcome to the AC forums tito_66.
Here are some points off the top of my head...
The Samsung Galaxy S is slightly smaller in all dimensions and significantly lighter.
The Desire HD has a 0.3" bigger screen (that's not a lot really when you're talking about 4" screens), but it's LCD.
The Samsung Galaxy S has a SuperAMOLED screen, which uses less power, has far higher contrast, far better viewing angle, and a much faster response time. Stuff looks far better on these screens compared to LCD screens like on the Desire HD and iPhone 4.
The Samsung Galaxy S has a much better touch screen - it reacts 3x faster and is far more accurate and sensitive.
The Desire HD has a slightly better performing CPU.
The Samsung Galaxy S has a much better performing GPU.
The Desire HD has 768MB of RAM versus 512 on the SGS.
The SGS has 8GB of internal storage (2GB for apps, 6 as a permanent SD card) + an optional microSD, versus 1.5GB + optional microSD on the DHD.
The DHD has a higher resolution camera at 8MP, versus 5MP on the SGS.
The DHD has a flash, but it's LED so it'll be useless at long range and saturate everything in blue/white at close range.
The SGS has a far more sensitive camera sensor, so will take better pictures in low light.
Both have face detection and geotagging.
Both have customised user interfaces (Sense on the DHD and TouchWiz 3 on the SGS). I personally prefer TouchWiz as it can be set up to be very similar (only looks way better) as the standard Android UI. But that's my opinion.
Both have FroYo (Android 2.2).
Both have B, G, and N wireless, but some websites say the DHD only has B+G. Check this if it matters.
The SGS has BlueTooth 3.0. The DHD only has 2.1.
Both support DLNA.
The DHD is usually slightly cheaper than the SGS.
The Samsung Galaxy S uses Gorilla Glass for its screen, so it's extremely tough and scratch resistant. The DHD doesn't.
They both have the same screen resolution.
The SGS screen is less reflective as it has fewer layers in it than the DHD's LCD screen, so is easier to see in bright sunlight.
Most people think the DHD physically looks better than the SGS.