its a bit like compairing a BMW with a Ford. They both do the exact same thing... get you from A to B. The Beemer just does it with a bit more panache. You need to decide if you can justify the extra cost.
The Desire HD is a premium phone with a bigger and better screen, better CPU, more RAM, better OS.... etc etc.
The Defy is very good value for money but it has cloth seats, not leather. It is a very good phone in my opinion and offers a better bang for your buck. It will do everything (almost) that the Desire does, the Desire HD does it just a little better.
Nokia Lumia 800
Retired - Motorola Defy, Nokia N900, O2 Stellar, T-Mobile Vario II