Well with mobile favorites you can have any web page you want, while with Avantgo you only have those pages that they serve. Avantgo sites are usually not very graphic since they must work on older palms. I guess they are both quite easy. To set up a mobile favorite go to tools > create mobile favorite and follow the directions. For avantgo, just go to their website
http://www.avantgo.com/ and setup an account.