I've used pico a bit, but I am by no means an expert, but from what little I used it, it seemed like it was mainly meant as a simple text editor. VIM has way more features from what I have seen. With VIM you can have syntax highlighting, which I haven't ever seen in Pico, though it may very well have it. You can also build code directly from vim using :make and if there are compiler errors, it will open up the appropriate file at the location of the error. And you can move to various errors using :cn and :cp...
Take a look at the VIM quick reference card
and I bet you will find a bunch of stuff that Pico isn't capable of. Some things in particular that I find useful are in the following sections of the quick reference card (which I have printed out and pinned up by my desk)
- Marks and motions
- Scrolling and multiwindowing
- Visual mode
Edit: To get some default behaviors for vim (like the syntax highlighting mentioned above) you can copy the vimrc_example.vim script into your ~ directory as ~/.vimrc. That file is usually located somewhere like /usr/share/vim/vim63...