Yes, there is a difference. Html.ActionLink generates an <a href="https://stackoverflow.com/questions/7709001/.."></a> tag whereas Url.Action returns only an url.
For example:
@Html.ActionLink("link text", "someaction", "somecontroller", new { id = "123" }, null)
generates:
<a href="https://stackoverflow.com/somecontroller/someaction/123">link text</a>
and Url.Action("someaction", "somecontroller", new { id = "123" }) generates:
/somecontroller/someaction/123
There is also Html.Action which executes a child controller action.