Sheetfed presses can handle a wider variety of stock thicknesses whereas web (roll-fed) presses generally print on thinner stocks -- if you're printing on cover weight stock, you're most likely looking at a sheetfed press.
Web presses are faster though and are generally used for longer job run lengths (25,000 + impressions). Whereas sheetfed presses can print up to 14,000 impressions per hour, web presses can print up to 40,000 impressions per hour!