It depends on the model and how the scene is set up, but Off the top of my head, and bearing in mind that I've only been playing with blender for a week or so...
Blenders internal renderer :-
Renders static particles (hair)
SubSurface ScateringAmbient OcclusionRadiosityYafray:-
Wont render static particles (i can't get them to work, at any rate)
Doesn't do SSS, radiosity or AO but does real
Global Illumination,
High Dynamic Range Imaging,
Caustics and Glossy/Blurry reflections (don't know the technical name for these).
I believe that the internal rendering engine is going to have caustics and blurry reflection/refraction added for the 2.5 release, as well as a speed increase for the renderer as a whole.
From perusing the blenderartists.org forums, it appears that a lot of people us the internal renderer for animations and external renderers like YaFray and Sunflow (and others) for higher detail static renders.
Just play with both of them and use the one which gives you the most pleasing results.