The big difference is when you're comparing steel-cut oats to rolled oats. Rolled oats are the more common and popular variant, named as such because of the process by which the kernel is flattened, steamed and roasted. This makes it extremely easy to eat and digest. Not to mention it cooks quickly.
Steel-cut, however, is much harder to cook, eat and digest. This prolonged digestion leads to many more nutrients absorbed, simply because of the time the oats spend in your body.
The differences are pretty minor.