There are a lot of fundamental differences between Visualforce Page and Lightning Components:
1. Page-Centric Model.
2. Most of the processing takes place on the server-side.
3. Applications are divided into pages and each page is an independent entity.
4. The server connects different Vf pages so that they can share data.
5. Primarily for Desktop.
Lightning Component :
1. App-Centric Model.
3. Applications are built with components and multiple components assembled together to form an app.
4. Events, Attributes, and Methods can help communication between two Lightning components.
5. Supports Desktop and Mobile both.