Forms controls are the more rudimentary of the two controls and can't be coded directly. Instead you assign code to them. They are very good if you want to do the same thing on multiple sheets, i.e. a command button to do something. If you draw one on a sheet and assign code to it, you can copy it to anywhere else and do nothing more than that.
You are also limited in the amount of formatting you can do with them.
ActiveX controls are more robust and you code them directly in the sheet module in which they're placed. Although you can reference general subs from them to get similar functionality to a Forms control. You also have substantially more options with regards to formatting.