I've read both and they are VERY different algorithms books. Some differences:
* Sedgewick has no proofs in his book (or at least very few). CLRS has a lot of proofs in it.
* CLRS uses pseudocode, while Sedgewick uses actual code. I think they use Java now (it was Pascal in the edition that I had used).
* Sedgewick is really a practitioners introduction. It views the algorithmic problem as the jumping off point. Whereas CLRS is more an intro for people who are going to study computer science -- so it focuses on the methods.
Both good texts. I think for most programmers I'd recommend Sedgewick, but if your goal is to be a computer scientist, then I'd recommend CLRS.