While Sephora has a larger selection of higher end cosmetics and perfumes than Ulta, their customer service isn't as good. I've found the sales clerks to be less friendly, less approachable and less friendly. I also think they run far fewer sales and promotions.
All in all I do prefer Ulta to Sephora though, and rarely go to Sephora any more. The one time I had to return something there, I was treated rudely and that doesn't encourage me to shop there at all.