utorrent is faster, period. It does not control your download speeds according UL/DL ratios. But use Peerguardian as mentioned by the other poster. It is very important to protect yourself.
All BitTorrent clients work the same (in principle) it all depends on how you set it up. If you are looking for faster speeds then I reckon you should read a guide on how to set up your BT Client properly.
About the question "which one is better?" It all depends really, in my opinion, on what exactly you intend to do.
If you are going to upload your own torrents onto websites and trackers, then the ideal client to use will be Azereus as it has far more functions, and with the ability of 'Plug ins' it also has a better 'super seed' function therefor Azereus will be the main choice.
If you are looking for light weight and efficiency, as well as blistering speeds (not that Azereus is slow, I am just adding to the 'momentum') then you should go with uTorrent.
If you plan on only leeching torrents made by others (then seeding ofcourse ;-) Then uTorrent is for you.
I think that only those that upload their own torrents onto websites on a regular basis use Azereus because of its many functions and practicalities.
safety can easily be achieved via the use of Peergaurdian as the previous posters have so kindly pointed out, but for the 'full montey' you should check out Rav009's Most Excellent Guide to the GalaxyBitTorrent Safety It covers everything for all clients.
Here is the link to Rav009's Guide to BT Safety. Please remember to thank him, in your head.
Thanks Rav for that most excellent guide. And Thank You Wllltigger for asking questions in your friendly neighbourhood AfterDawn