Well, to truly answer you question would take quite a while, but here are some general pointers.
Powdercoat; tougher, cheaper, less smooth, less 'deep' colour, less range of colours
Wet paint; chips more easily, glossier, deeper colour, wider range of colours
this is a very broad brush stroke (pardon the pun), each of those points could be countered with 'but I've seen beautiful powdercoats' or 'my wet painted frame looks as good as they day I bought it' both of which could be very true for high quality finishes.
Personally, if it's a classic road frame (especially if lugged) and you want it to look nice I'd be inclined to go wet paint, the lugs will look better, and especially if you want panels or masking then wet paint is much more readily do-able. If it's just to get it rolling as a round the town beater, go powder.