I'm not sure how they differ. I've found them to both work quite well, but I use gdm simply because I liked the default controls it gives you better than kdm's, and it had a prettier picture
.
I've never configured one, but I imagine the configuration process would be different depending on which manager you use (kdm/gdm/xdm).
I know they can be configured because my default gentoo gdm has nicer options than my default slackware gdm, but I've never played with the settings myself.
Probably a "man gdm" or "man kdm" will explain it for you.
Cheers.