Both are master's degree courses, MBA is when you get to study in a university affiliated college, you are awarded MBA. While PGDM is given by autonomous Institutions which are not affiliated to any University. For example B-Schools like IIMs, XLRI, LIBA, Great Lakes, SP Jain are autonomous colleges they have no power to offer MBA degree.
In India only Universities including deemed Universities can give degrees, autonomous colleges can give only diplomas.
Usually PGDM is better, but colleges like FMS Delhi affiliated to Delhi University gives MBA.
To better undertsand the difference between MBA & PGDM, visit http://forum.careermitra.com/discussion/6/mba-vs-pgdm-what-is-the-difference-between-these-two