I've been told the Mig pigment powders are excellent, because they're just pigment. A pastel chalk stick has a carrier to keep it in stick form. This (allegedly) interferes with the way is can be applied. Personally I have no problems what-so-ever with pastel chalks, but I am considering picking up some of the mig pigments to see what they're like.
There's an article on pigment/pastels on missing-lynx.com:
http://www.missing-lynx.com/reviews/other/migpigments_skubik.html