Well, the Nexus S gives a Super AMOLED screen (or Super LCD depending on where you live). You get Android 2.3 Gingerbread out of the box and it runs on the stock interface and it will give you the updates much faster. This phone has 16 GB of memory built-in but cannot be upgraded. The phone is a lot faster as well despite the fact that both phones are using a 1 GHz processor. Also, this phone has a front facing camera for video calling.
The Desire HD will give you a larger LCD screen and a more premium design. The camera on this phone is 8 MP and is able to shoot in 720p HD. It comes with Android 2.2 Froyo out of the box but will be upgradable to Android 2.3 Gingerbread. The phone uses HTC Sense which makes it look more appealing (better widgets and all that). Also, there's a microSD card slot so you can add up to 32 GB of memory.
Going with either phone is fine. But, think of it this way. If you want the true Android experience and receive faster updates, go with the Nexus S. If you want a much more fancier experience and a nicer look, go with the HTC Desire HD.