Well, license, yes. Free AlgLib is distributed under strict GPL, while LMath under modified LGPL. Besides, in my view, it is easier to use. At list, when I was not yet supporter of LMath and was choosing between AlgLib and DMath for my own project (Nest-o-Patch,
https://sourceforge.net/projects/nestopatch/, I found building DMath much easier, and LMath is organized as set of Lazarus packages, which makes it even more easy. LMath includes some components; I think that filtering components may be most interesting among them. Package MathUtils makes (in my view) easier work with arrays of real numbers.
Having said all that, I don't think, one can say that LMath is better than AlgLib; it is largely question of taste and one's needs.
For example, in many cases AlgLib is written in more efficient way and can be preferred for really intensive calculations (though it is also question of testing); procedures in LMath are often easier to understant, exactly because they are not obscured by heavy optimizations.