The major difference is that Memory Sticks are Sony proprietary, which means that, for example, if you want to use a card to transfer pictures from your digital camera to your PDA, you must have a Sony camera. The 505 cards are an industry standard, which means that many manufacturers will make various devices that take the cards. To me, this is a VERY big advantage for the 505. When I buy a camera, I want to have lots of choices, and not be restricted to Sony. I think the Palm is the better buy.
Palm does only PDAs, and so has a much higher stake in keeping it going.
If you care at all about peripherals, like keyboards, modems, GPS receivers, etc., the 505 is a clear winner. Peripheral manufacturers like to build for the standard and for the devices that have the greatest number of extant units. Palm clearly wins on both counts. Buy a Palm, and you'll have choices of peripherals. Buy a Sony and you may or may not be able to find that add-on you want.