Sticks are easily hidden, but require using the Roku remote as they are RF-only. They are also WiFi only, and since they plug into something, you can't easily move them around if WiFi signals are poor at a particular location. Most of the current non-Ultra models are roughly the same speed as far as the interface and similar are concerned. Other than the plain Express, they have enough memory to handle a large number of channels without having to reload all the time.
The Ultra is the fastest and offers an Ethernet connection for more reliable Internet. It also has a USB port so you can use it to view pictures or your own movies.