Both are enviromental light sources in Corona. Sun&Sky is procedural while HDRI map is capture of real life light information. Both has advantages as well as disatvantages agains each other.
Sun&Sky pros - very flexible, easy to fit to required situation. Cons - it's very uniform, so can be quite boring, hasn't night mode.
HDRI pros - very often contains much more interesting light, is irreplacable when there's a need to integrate CGI into photos. Cons - most HDRIs which contains unoccluded sun, is improperly captured and needs modifications to give better results, contains fixed light information, so isn't very flexible.
It is perfectly possible to combine procedural sun with HDRI map to complement each others drawbacks or to adjust artistic properties.