Completely different devices. Basically the same interface but different hardware. If you need a hardware keyboard or need more than 4 GB of storage for music, etc, then get the Pro. If size matters most, get the Diamond as it is thinner without the keyboard. Main differences listed below with links to HTC Wiki pages for each device. For me the Pro was an easy choice but lots of people really like the Diamond.
Diamond-no hardware keyboard, no storage card, 4 GB internal storage
http://www.htcwiki.com/page/HTC+Touch+Diamond
Pro-slide out QWERTY keyboard, micro SD slot, 288 MB RAM
http://www.htcwiki.com/page/HTC+Touch+Pro