The 9400M is an integrated solution; it "borrows" some of the computer's RAM for its own memory and will do video acceleration (to play HD video smoothly) and let you do some light gaming. It also uses less battery power than the 9600M GT.
The 9600GT is a discrete solution; it has 256MB of its own dedicated VRAM. This makes it better for playing games at the expense of some battery life. It also does video acceleration.
The nice thing about the MacBook Pro is that it lets you switch between the two (not sure if you need to reboot to do so). If you're on the go and you don't need all the power the 9600M GT provides, you can switch over to the 9400M and save some power. If you need the boost, you can fire up the 9600M GT instead.
Hope this helps!