They are not comparable to imho.
jQuery UI is just a combination of several widgets that can be used together but are not really integrated or anything else. Pretty flexible, pretty fast, but not a complete set of widget tools.
ExtJS is a full-text toolkit for web applications that is comparable to most GUI toolkits in terms of features. yes it is useful, but it is also very complex and very large / slow. So IMHO depends on what you need. For a normal interface, I would never use ExtJS, since it is too big and slow. But for the admin panel or something big, where it actually adds a lot of convenience, yes, please.
Just try creating something like this using jQuery UI: http://dev.sencha.com/deploy/dev/examples/grid/totals.html
In addition, with ExtJS, you can even design interfaces using the drag and drop interface these days: http://www.sencha.com/products/designer/download.php
Size Comparison:
JQuery
jquery-1.4.2.min.js : 70.5KiBjquery-ui-1.8.5.min.js : 199.5KiB- Total: 270KiB
Ext:
ext-all.js : 697.7KiBext-base.js - 26.5KiB- Total: 724.2KiB
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