While the basic set up of the workouts is the same (short cardio segment, lower body segment, upper body segment), I find there are quite a few differenes in the workouts.
First, I think the cardio segments in High Step Advanced are more consistent than in High Step Challenge. The first, second, and fourth cardio segments are pretty intermediate, and segments three and five are off the charts as far as intensity and impact! I much prefer the cardio segments in High Step Advanced, which, like I said are more consistent with regards to intensity and impact. Most of the leg work in High Step Advanced is leg presses. In fact, I believe there are 6 sets of leg presses total. If you don't like leg press, you won't like High Step Advanced. The lower body work in High Step Challenge is much more varied. Both workouts do a great job with the upper body work, although I am partial to High Step Advanced because some of the exercises with the band in Challenge bother my shoulders. Lastly, High Step Advanced doesn't have any ab work and I believe Challenge does.
My personal preference is High Step Advanced over High Step Challenge. Both have strong points and it basically comes out to matter of preference.