I've been using my Steam Deck since the tail end of 2022 and a ROG Ally since July 2023. In that time I've used both enough to form some strong opinions. Here are my thoughts on the two handhelds, which I prefer, and the reasoning behind my decision.
SteamOS has come a long way from the janky OS found on the first wave of Steam Machines to a proper Windows replacement for gaming purposes, with support for more than 10,000 games. I love it. I love Game Mode and the fact that a casual user doesn't have to switch to Desktop Mode even once because Steam Deck's Game Mode has everything you need to play your Steam games.
I also love Game Mode because it looks great, runs even better, and is optimized for controller navigation. I love SteamOS Desktop Mode because it functions like Windows, and thanks to the inclusion of dual trackpads, it's easy to navigate compared to relying on an analog stick alone. The overall experience is in not as involved as you might think a Linux-based OS would be. You can do plenty of things without typing anything in Konsole or just copying and pasting commands you find online.
On the other hand, Windows on gaming handhelds is a chore to use and navigate around. It would be great news for every Windows gaming handheld owner if we got a controller-friendly UI sometime in the future. Maybe Microsoft will unretire the Metro UI, which could work fantastically with a controller. Perhaps the next ROG Ally comes with a trackpad. At the moment, navigating around Windows with a thumbstick is unpleasant at best, and frustrating at worst.
Then you have the updates associated with Windows that can spoil gaming performance or install apps without your knowledge. These can end up causing games to crash until a random ROG Ally owner identifies the problem and kindly shares their findings on Reddit. You can also end up with Windows replacing your GPU drivers making your games run like crap.
Other issues
Read more on howtogeek.com