As there seems to be much interest, please allow me to give my (obviously biased) opinion, which should therefore be taken with a grain of salt:
- MSM is much faster
- MSM requires no RTTI or anything virtual
- MSM has a more complete UML2 support (for example internal transitions, UML-conform orthogonal regions)
- MSM offers a descriptive language (actually several). For example, using the eUML front-end, a transition can be described as Source + Event [Guard] / Action == Target
- MSM will make your compiler suffer for bigger state machines, so you will need a pretty recent compiler (g++ >= 4.x, VC >= 9)
You can make yourself a better opinion by looking for comments posted during the review of MSM. This subject was much discussed on the developer list.