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Other than that the experience of those brainwave states is no different. Once we achieve a particular brainwave state using entrainment there is one significant difference to the experience and that is that we are usually still at a high level of consciousness. We’re not (hopefully) zoned out as we are when daydreaming or unconscious as we are when we’re sleeping. We maintain awareness and therefore we get to consciously experience what those brainwave states feel like in some detail.
Both brainwave entrainment and neurofeedback deal with brainwaves, but the similarity stops there. Entrainment pushes your whole brain into a pre-determined state, while neurofeedback teaches you how to move specific parts of your brain on your own. It is the differeence between forcing the brain into a given position, and skills building so you can move it there yourself.