Skeg – A skeg lowers into the water along the axis of the kayak, improving the straight-line tracking of your kayak in certain conditions, but has no ability to control directional changes.
Rudder – A rudder helps straight-line tracking, but being directional it also aids turning. Useful for larger kayaks such as tandems, the rudder is not a replacement for proper kayak steering techniques; good technique can help you better control your boat.
Both a skeg and a rudder can be deployed and retracted while seated in your kayak by using the control system positioned to the right side of the cockpit.
Which is better?
The debate on this will go on likely forever in the kayak world, but it comes down to preference mostly. Many higher performance sea kayaks and some more basic recreational kayaks have skegs and many larger touring and day touring kayaks including tandem kayaks will have rudders. It's best to decide for yourself by test paddling several ruddered and skeg boats in ideally a bit of wind or waves to see what you prefer best.