A simple google search (proc sql and data step comparing) gives this paper.
http://www2.sas.com/proceedings/sugi29/269-29.pdf
Also, @PGStats offers this summary:
Programming level
In proc SQL, you describe what you want and let the procedure figure out the way to do it.
In a data step, you describe what operations must be done, in detail, to get what you want.
Data structure
In proc SQL, tables are sets (unordered). Join operations are defined in terms of the cartesian product.
In a data step, datasets are sequences of records. Merge and update operations require prior sorting.
Summaries
In proc SQL, a limited group of summary functions can accumulate information about subgroups of data.
in a data step, you can store information from one iteration to the next, but you must calculate your own summaries.
Transportability
Most SQL queries can be moved to database servers with minor adjustments.
The data step must be run by SAS.
Efficiency
Proc SQL will perform on your behalf many optimisations that are not trivial.
A data step is a compiled program that can outperform any interpreted data manipulation script such as SQL, given enough effort.
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