I pulled this comment from another poster on another forum, but it sums up the difference between mechanical and hydraulic disk brakes.

Hope this information helps.
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Mechanicals:
Advantage:
- Easy to adjust
- Fair price
Disadvantage:
- Dirt can clog up the cable
- If dirt did clog up, it won't brake as smooth

Hydraulics:
Advantage:
- Powerful braking
- Use fluid cable
Disadvantage:
- Difficult to adjust
- If not fix properly (bleeding), braking power greatly reduce and would be very dangerous.
- Expensive
- Need regular maintanance