What are you going to be using it for? I'd say the main differences are:
* HTC Touch HD: good choice if you primarily need a multimedia device, as it has a bigger screen (which should be great for movies, pictures, games, etc) and an accelerometer (for games). It's also thinner and more stylish looking and the camera
might be nicer.
* Sony Ericsson X1: good choice if you primarily need a productivity device (writing text messages, sending emails, editing documents, etc), as the hardware keyboard, IMO, is much nicer than a touch screen one. Also, the X1 has panels, which lets you pick different UI's for different tasks. Thanks to some folks on xda-developers, you can even install the TouchFlo 3D UI (from the HTC Touch devices) as a panel, which is pretty sweet.
Otherwise, the phones are damn similar. They are both made by HTC, both run Windows Mobile, both have high res screens, standard headphone jack, FM radio, Opera browser, plenty of RAM, expansion slots, and all the connectivity options (quad band, 3g, wifi, gps, bluetooth). I bought the X1 a while ago and will probably write up my full review in the next week or two (in the meantime, you can read
my impressions as I used the X1 the first week or two). So far, I've been pretty happy with it, but it does have it's issues - most of them, however, are the fact that Windows Mobile is an outdated and not user friendly OS, which means the HD may have the same problems.