- Mercurial is distributed, i. e. each Mercurial client has his own complete copy of repository, including whole history. That's the main difference to Subversion, which is client-server, so other differences can be considered as side-effects of this.
- Merge is much better in Mercurial, which makes it easier to use branches (always a big pain with Subversion). This is really required, because it's the main mechanism of sharing code between developers.
- Performance - Mercurial is in general somewhat faster.
- Space - Mercurial is more efficient when consuming disk space.
- 3rd-party integration - Subversion has more integration means, at least now.
- Locks - Subversion provides locking mechanism, which is suitable for working with large binary files. Mercurial is not that efficient in this respect, also due to its distributed nature.
- Import/Export - Mercurial is able to import and export data from Subversion, CVS, git and others. It makes it easier to migrate to.
Also, Bazaar should be considered as an alternative (here is a good article comparing and explaining those). Yes, Mercurial appears to be much simpler in install and more than 2 times faster than Bazaar for nearly all operations.