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I've lived in both counties.
Westchester is bigger, wealthier, closer to the city. Westchester is serviced by Metro North, on the east side of the Hudson River, which makes it an easy commute from most parts of the county. Thus, very attractive to affluent commuters, creating a great demand. There are some exceptional school districts in the county, as well as some very urbanized areas.
Before the Tappan Zee bridge was built in the 1950's, Rockland really was "upstate." Nyack was a bit of an upstate get-away for some NYCers, and was 1 of Rockland's early commercial centers. Once the bridge was built, suburbia moved in. Still, the population is less dense than Westchester. As it is still a much more difficult commute, it does not have the same home values or affluence of Westchester. (Though Rockland is hardly poor).
There are a handful of low income pockets in Rockland, with high crime, etc. But Rockland lacks the city centers you can find in Westchester (such as Yonkers and White Plains).
The counties are similar in a lot of ways. Rockland perhaps votes a bit more conservatively, but Westchester is skewed by the heavily Democratic leaning urban areas of Yonkers and White Plains. Overall, Rockland leans a bit towards the Democrats, while Westchester leans very Democratic.
Westchester has a variety of towns. Some are waspy, some are mixed, many have large Jewish populations. Each Westchester town very much has its own identity.
To some extent, Rockland has more of a county identity. The towns have less of an individual identity. (Nyack, Piermont, and Pearl River being exceptions.. Rockland towns, with a town identity). Instead, Rockland is mostly 1 sprawling suburb. Whereas Westchester, has towns builty around train stations.
Of note, Rockland has the largest Hasidic Jewish population outside of Brooklyn, often affecting local politics.
One third of Rockland is set aside for state parks, so there is plenty of park land. Further, Rockland's river front is undeveloped, leaving lovely parks. While in Westchester, the railroad eats up the river front property.
Shopping in Westchester varies from tiny shops in towns, to big box stores and malls. Rockland does have some smaller shops (especially in places like Nyack), but overall there is more of a big box feel. The Palisades Mall in West Nyack (which is nothing like Nyack) is the biggest mall in the northeast.
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