A spray head will spray water over the whole area to be watered the entire time it is watering. The spray pattern does not move back and forth like a rotor. Spray heads disperse a lot of water in a short time, so in general they are good for small to medium area watering and for even surfaces. Spray heads are less expensive, but they require more pipes and trenching and valves.
Rotors are sprinklers that shoot a jet of water, and the stream moves back and forth across the area to be watered. They disperse less water but more evenly, and are good for sloping landscapes and larger areas, allowing water to soak in at rates that the soil can absorb. Rotors use less pipe and trenches, but they themselves are more expensive.
The cost per square foot is comparable with each type of sprinkler head. Gary Fialkosky Lawn Sprinklers, LLC utilizes both types, and we usually use a mix of each kind with our typical irrigation installation.