Many user's computers by 违约不会信任ActiveX, and it will be disabled; this sometimes needs to be manually added to the trust center. ActiveX is a microsoft-based technology and, as far as I'm aware, is not supported on the Mac. This is something you'll have to also consider, should you (or anyone you provide a workbook to) decide to use it on a Mac.
One major difference that is important to know is that ActiveX controls show up as objects that you can use in your code- try inserting an ActiveX control into a worksheet, bring up the VBA editor (ALT + F11) and you will be able to access the control programatically. You can't do this with form controls (macros must instead be explicitly assigned to each control), but form controls are a little easier to use. If you are just doing something simple, it doesn't matter which you use but for more advanced scripts ActiveX has better possibilities.