Twonky and DLNA are the same thing. DLNA is the “standard,” Twonky is the server/application.
I think you mean to compare WD Media Server versus Twonky Media Server.
I think Twonky works MUCH better than WD’s Media Server. It’s MUCH faster, MUCH less resource intensive, etc. But some people have hardware that’s not compatible with Twonky, so they opt for the WD Media Server.