You can compare up to 20 records side-by-side using a comparison table. This can be created by right-clicking on a material record in the Browse tree, Search window, or the Selection Results pane, and then clicking on Add to comparison table. This lists all properties except long text fields and graphical data. If you hover over a record name in the comparison table, you can set one material as the reference and view how the other materials differ by selecting % Change.
To compare full datasheets (including long text fields and graphical data) you can view multiple datasheet windows side-by-side. Click on Tools > Settings, and on the Datasheet tab, select the "Allow more than one datasheet window" option. Open the datasheets you want to view side-by-side, and click on Window > Tile vertically.