I work for an immigration consultant, so I'm obviously biased. That being said:
Consultants are usually cheaper than lawyers. Also, they are legally allowed to focus solely on immigration. Often when you hire a lawyer, the lawyer is not that familiar with immigration matters, and rather one of the staff, who may not be a lawyer, will focus on your case. Consultants are normally immigration experts.
Lawyers almost always cost more money but they may have considerably more experience - the immigration consultant profession isn't that old - or, in some cases, larger teams behind them. It really depends on the lawyer. Lawyers will usually tackle matters that immigration consultants will not, such as appeals. Lawyers can also help with litigation.