it is different form a "normal" or quil type stem. the main difference is that on a threadless headset the stem is held down on top of the bearings and this holds the whole show together. while on a traditional headset, it holds just the fork and the stem then gets wedged (qith the quill) into the fork's steerer tube.
in the 2 systems the fork/stem/headset all have to work together. most older bikes will have 1" steeres and use a "regular" headset. newer bikes tend to have 1+1/8 tubes and use thread less headsets. there are regular headsets in 1+1/8 and vise versa for the threadless, but its just the convetion that most end up that way.
go with which ever will fit your bike (by fit i mean the cups will press into the frame). either design works fine.