Mechanical means it use no electric. Such as for oil pressure, you have a line that gets filled with oil to the gauge. A boost gauge has a vacuum line connected to it. water temp you have to run the line from the gauge to somewhere on the intake in the coolant flow...
Electrical gauges have senders that the gauges to connect to, making them easier to install. Accuracy should be about the same, so it's just what you prefer. On some styles, such as the phantoms, only full sweep needles are available only on mechanical gauges which is the reason I went mechanical. I think they are cheaper too.