(taken from PHP manual)

PHP is commonly said to be faster and more efficient for complex programming tasks and trying out new ideas. PHP is generally referred to as more stable and less resource intensive as well. Cold Fusion has better error handling, database abstraction and date parsing although database abstraction is addressed in PHP 4. Another thing that is listed as one of Cold Fusion's strengths is its excellent search engine, but it has been mentioned that a search engine is not something that should be included in a web scripting language. PHP runs on almost every platform there is; Cold Fusion is only available on Win32, Solaris, Linux and HP/UX. Cold Fusion has a good IDE and is generally easier to get started with, whereas PHP initially requires more programming knowledge. Cold Fusion is designed with non-programmers in mind, while PHP is focused on programmers.