MDS is alot easier, but more limited. Plus, its limited to BES server deployments. You program in javascript on the client.
JDE is pretty bare bones, hard core java programming. The good news is its alot easier to deploy (to desktop manager or simply an internet download like google & yahoo, et al). I think JDE will be much better when 4.5 gets widely deployed, as it has better native web-services support.
If you try JDE, do realize the JDE versions are bound to the blackberry you are targetting.
Also, there is an MDS visual studio plug in, along with a JDE eclipse plug in, but they seem to be less mature. Don't know if that is the eventual direction of their dev tools or not.
