There are some discussions about this issue at the following website:

Http://frmexam.blog.com

I am CFA Level III candidate and have passed FRM in 2005 exam. I tell you what I understand:

CFA is Charter Financial Analyst, while FRM is Financial Risk Managment.

For CFA, the main focus is the analysis securities (include fixed-income, equity and derivatives) and portfolio managment (e.g. how to construct portfolio as measure the performance). Therefore, it will need to to know how to value securities and how to construct portfolio. If you want to enter into analyst job in Invetment Banking or Asset Management, CFA is almost a must to have (especially for US firm)

For FRM, the focus is to measure different kinds of risk (for example, credit risk and market risk) and how to control the risks. If you want to enter into Commercial Banking/Retail Banking and Asset Management for risk control, you should take FRM.

As the result, these two are quite different.

FRM is not very diffcult, as all are MC and only take one exam. If you pass, you can have the right to use "FRM", while CFA need to take three exams and will need to write essay type in Level III. For me, I do not feel FRM is very difficult.