For Skylake generation chips, U series processors are rated for 15w (very rarely 28w). the HQ series are rated for 45w.
Implications:
all (maybe?) U series are dual core CPUs (with or without HT), all (maybe?) HQ are quad cores (with or without HT)
U series last longer on the same battery size (the HQ series sometimes have a bigger battery to compensate)
When doing complex continuous workloads the HQ series will be faster (Being able to sustain 45w means it has roughly 1/2 the power budget of a desktop CPU)
When doing simple workloads, both will perform about the same
HQ series will be a bit heavier due to the need for a much larger dissipation requirements (and thus the unit won't be nearly as thin)
which one benefits you the most will depend upon what you're trying to do. If you're just browsing the internet, checking email and watching youtube etc, then the U series is targeted towards you. If you want to encode movies, compile lots of code, compress/decompress a lot of files, you'll have to ask yourself, can you afford to wait twice as long? Are you willing to trade the formfactor (thinness of laptop) for something thicker but run test CPU intensive tests faster...