Unit Test (UT) vs. Execute Anonymous (EA)
Here's pretty much all the differences I could think of off the top of my head. They'll probably ask about some specific sub-detail; it really just helps to know what UT and EA are used for.
UT: Mock callout, no actual systems are affected.
EA: Live callout, external data may be affected.
UT: No records modified will affect live data, despite successful execution.
EA: All records modified will affect live data upon successful execution.
UT: Can be reset mid-way to mock a new transaction.
EA: Subject to normal synchronous limits.
UT: Can use System.runAs to pretend to be another (possibly non-existent) user.
EA: Calls are always made under your own login information.
Field Level Security
UT: Can use all fields and objects as if you were in System Mode.
EA: Cannot use fields and objects you cannot see, which can cause compilation errors.
Default Sharing Mode
UT: Uses System Mode ("without sharing") by default.
EA: Uses User Mode ("with sharing") by default.
UT: Provides code coverage for non-UT code.
EA: Does not provide code coverage for non-UT code (as it cannot be run during a deployment).