UTAU is a vocal synthesis software similar to Vocaloid except that they propriety software, while Vocaloids are sold for commercial purposes. It lacks quality compared to Vocaloid but is free to download. There are thousands of vocals made for the software but the quality varies immensely from very good to extremely bad. You can also develop your own voice into a UTAUloid, if need be. This is currently impossible to do for Vocaloid and you are limited by what is sold to you.
Beyond this, both software work pretty much the same so it's a question of what would you rather do; save up the money for someone else's voice at a high quality, or go for a freebie and develop your own voice.
There are other little differences, but these are the main ones.
one of the most popular UTAUs is Kasane Teto