The chunks in sauce are just that - chunky food in gravy. It's made to look like meat in gravy but it's really mostly held together by wheat gluten. *All* of the recalled canned pet foods in the US and Canada were "chunks in sauce" varieties.
The other style is basically the consistency of a pate.
All things being equal, pate style is preferable to the chunky variety because wheat gluten isn't really an appropriate protein source for a carnivore. But the most important thing is always to read the ingredients. For instance, Nutro Gourmet Classics (a chunks in sauce variety) still has vastly superior ingredients to, say, Nine Lives Super Supper (a pate variety).
My cats love the chunky stuff so they get it as an occasional treat (maybe once a month), but the bulk of their diet is pate-style food.