They are very different. Here are some differences I have noticed (not all necessarily relevant to the work you will do as a junior associate):
(1) M&A work tends to be much more strategic/customized, whereas in cap markets you're really just churning out the same deal over and over (with minor differences). In M&A, you're worried about issues like how to protect your deal from other bidders, or how to reduce the ability of the target to resist your offer and force you to pay a higher price (and vice versa if you are the target). While not all the time, you will come up with novel transaction structures/terms relatively often to deal with issues unique to the deal. With cap markets, by contrast the same deal has more or less been done 100 times before and it's just a matter of getting the disclosures right. There's much less strategic negotiation, and much less customization of deal structure/terms.
(2) M&A tends to involve issues from lots of other areas of law - tax, environmental, antitrust, differences between US and foreign law, etc. While you won't be in charge of these issues (lawyers who practice in those areas will), you get exposure to it and have to integrate those concerns into your work. So some would say you get broader exposure to different issues. Cap markets is much more focused on getting really good at one area of law.
(3) While both have this to some degree, cap markets is arguably much more of a "process." i.e., a lot of your time is spent coordinating with the underwriters, people at the company, potential investors, etc. If you like the interactive aspect, this can be a plus, but some people view it as herding cats.
(4) Generally speaking, you'll get more responsibility faster in cap markets compared to M&A. Some would argue, however, that most cap markets transactions (especially debt) are less "important" compared to M&A.
(5) Your exit options from M&A practice will generally be broader than from cap markets practice. Note this doesn't necessarily mean better. Cap markets best prepares you to go in-house at a bank, where you will do very similar work to what you did at a firm (this isn't necessarily bad - it's well compensated, and some would say more exciting). Companies have very few if any cap markets lawyers. If you do M&A, it often prepares you for a broader range of "general" in-house jobs. This isn't a hard and fast rule, of course.
Sounds like you have some first-hand experience. Thanks a lot for the replies, quite useful. A few more questions if you don't mind:
1. Would you say that M&A draws a certain kind of person/lawyer vs. capital markets work?
2. It sounds like you get to be more creative in M&A work, is that a fair statement?
3. Does any corporate work require persuasive writing at all (like litigation-esque documents) or are all the documents on the corporate side rather cut-and-dry?