More or less, Linear power supplies are usually more robust and can handle stress a lot better than switching power supplies.
Linear power supplies just use a transistor in its linear state; basically a huge variable resistor. There are very few parts inside of a linear supply; and as a result they are also very easy to troubleshoot in case something does break inside.
Linear power supplies also have very little noise output; they're regulated by basically a resistor, so what noise could possibly be made?
However, linear supplies tend to get hot under high loads. That means they're also typically heavier, and can act like space heaters if you're really pushing them.
Switching power supplies will always be more lightweight than linears. They are also a LOT more complex, and are very hard to troubleshoot if something does go wrong inside. They produce a lot less heat, too. However, they can be noisy, if they're cheap ones. Sometimes the high frequency switching can get into your DC output causing issues, and depending on how bad the noise is may even break whatever it is you're connected to.
Switching and linear power supplies can be had for cheap or expensive. It just depends on what level of quality you're looking for.
Hell, you could even MAKE a linear power supply if you wanted to. They're really easy.
