The dat version is stored in binary files in the same folder as the login while the SQL is stored on a SQL database.
dat is easy to setup (doesn't require anything extra besides the server executables iirc) while the SQL requires you to have a SQL server running, setting up user and database etc.
dat is tedious to make changes to the data and in general less desirable, SQL is easy to make changes to the data (as in per account/character basis), but you need to know what you are doing.
Although (as kinda Soda said) dat is no longer supported, it's still on the downloads (hint?)
If you plan to set a server, simply don't go dat.
It says it installs MySQL, PHP and Perl... so I guess you could do that (I haven't tried tho).
If you are going to run a server just for yourself then you might want to use dat (It will get a tool to port the data to SQLite), but I would not expect to get many answers regarding to it as it's discontinued already.