Shiny coating on DA (inner and outer plates) and Ultegra (outer plates only) looks nice, cleans up easier, and doesn't corrode (and is arguably smoother, though I can't say for sure), and only costs a few bucks more depending on where you get it.

The DA 9 speed chain was on sale at Performance for $22 a couple of weeks ago. I like them better and I'll pay the extra couple of bucks (but I wait to get them on sale), but I won't try to make the case that you "need it" or it's "worth it" or anything like that. Just depends on what you like.