A VMDK is a file that VMWare uses to present a fake hard drive to an OS within a VM. It's essentially the contents of a hard drive stuffed in a single file.
The VMDK will be modified as the OS writes to the disk. It will contain all the files of a running OS, as well as applications, temp files, user files, etc.
An ISO is essentially the contents of a CD or DVD ROM stuffed in a single file.
It's not designed to be modified in the same way as a VMDK since CDs/DVDs are read-only.
VDMK's contain more than an OS and aren't really equivalent to an .ISO.
VMWare and other virtual machine suites will use .ISO files to present a fake CD or DVD ROM to an OS within a VM.
The question you're asking is similar to asking about differences between the data on a Windows install CD/DVD and the files on a hard drive where Windows is installed. The two are normally separate things and Windows is only copying files from the CD/DVD to the hard drive during installation. Nothing changes because this is done in a VM, it's just that the VM presents two virtual devices to the contained OS, using data from two separate files (ISO->virtual CD, VMDK->virtual HDD).
VMDK's may be distributed by vendors to allow people to try out OSes and/or various software. This is equivalent to them installing an OS and other programs on a hard drive then shipping you the hard drive, and you plugging into your own computer.