What is the difference between Apex Data Loader and Import Wizard as far as record
loading is concerned?

Answer: Apex Data Loader, Loading of a record fails if even one column/field has invalid data in it.

Explanation:
Import Wizard, Inconsistent
behavior. Sometimes the field with invalid data is not loaded but
the remaining record gets loaded as mentioned above when text
value was provided in a field of type number but the field was
not a compulsorily required field. The record loading fails if this
field is made a compulsorily required field.