I am presuming that you are talking about Engine Yard's EC2 hosting, rather than their full-service stack?
I am working with Heroku, and love it.
On price, Heroku is the clear winner for me. Bandwidth costs are abstracted by Heroku, which is a big win.
On the security fronts, it's a bit hard to tell - which is one of the common critiques of the cloud. You don't have a whole lot of insight into the stack that is running on either service.
Heroku have invested a huge amount in technology to monitor and seamlessly manage application instances. Something goes wrong and the instance is dropped and a new one started. Wonderful stuff.
As to scalability, both are backed onto Amazon and leverage EC2 and the EBS, so probably much the same in terms of raw capacity.