They can be as fast as each other, it all depends on how you set the program up once installed.
You have to play around with the settings, if your using a pc/laptop then I would recommend 'BIT COMET' I've found that to be easy to set up to get really fast downloads speeds.
But don't use the 'NEW' version, go to www.oldapps.com & download version 0.70 this version far more open than the latest ones, if it asks you to install the newer version once installed just refuse all the time.
If your on a Mac then Utorrent is probably the best, unfortunately you cannot get bit comet for this machine.