Clinical is just that...clinical. You get training in things like assessment and therapy that you would not get in an experimental program which focus on giving you a broad basis in theory, and a broad basis in research methods/stats to allow you to test those theories. Clinical also focuses largely on psychopathology (or at least factors involved in psychopathology), whereas experimental can encompass all psych areas...clinical, cognitive, neuroscience, etc.
I chose clinical for several reasons.
1) It definitely offers the most flexibility of any psych degree. I can get into research, therapy or consulting with a clinical PhD. Most other degrees only prepare you for 2/3 (though there's always a way to make it work if you change your mind later, its just harder).
2) I think its important to have a solid background in therapeutic methods for the kind of research I want to do. It offers a different perspective, and helps me keep in mind the end-goal of helping people live happier lives - something that can get kind of lost in the shuffle in the midst of a large research project.
It can be very depressing to work with the mentally ill, but it can also be very rewarding. To each their own. I want to work with depressed people, who ironically, I find much less depressing than people with other disorders. Some of the people on the board are interested in working with survivors of sexual abuse. That is an example of something that would give me a complete psychotic break very quickly. Any child abuse actually I would just find too depressing for me to handle (obviously the occasional case will probably come up and I will deal with that, I'm talking about PRIMARY focus) If you can't handle the idea of working with the mentally ill, this is definitely not the field for you
Yes, it will be demanding and challenging. I'd like to think any job that requires a PhD would be. There's much easier paths to "objective success", but this is something I want, so I will do it.
Clinical psych is definitely tougher to get into than experimental (though don't get me wrong, experimental is still really freakin hard).
Hope that helps a little.