Before I begin, let me be clear: there are those countries where masters programs are considered part of undergraduate education (e.g. Russia) and it is common in continental Europe, as well as in India, to regard many masters programs as being coursework-based, where the students do not acquire substantial research experience, if any. And that coursework masters, while common in some fields (business, education, healthcare) they are not necessarily favored in others (engineering, natural sciences).
Since I am a Canadian student (Quebecer to be exact) this post is primarily written from this perspective. It is usually considered the norm for Canadian PhD hopefuls with lackluster (or no) research experience coming from undergrad not to be offered direct PhD entry if they stayed home (although one could choose the accelerated PhD if so she wished) and both MA/MSc and PhD programs offer research training so, on that count, they are similar. But any BA/BSc holder knows that MA/MSC and PhD programs are quite different. Nevertheless, most differences stem from any of the following:
- Qualifying exams, to be taken before full-time research begins (most PhD students begin research part-time before they are done with the coursework)
- Longer period during which to conduct research (3-5 years in a PhD vs 1-2 years in a masters)
- Thesis defense (at the masters level, it is not done universally, unlike at the PhD)
In the US, however, “terminal” masters are usually not funded, unless one chooses the thesis masters. Even so, funding is not as readily available. And the majority of exiting physics MScs awarded in the US, per http://www.aip.org/sites/default/files/statistics/graduate/trendsmasters-p-12.2.pdf are awarded by PhD-granting departments, while some masters are admittedly more suited for people who would use that credential and their contents to enhance their career.