Atronachs can be summoned anywhere, but there are only three choices.
Undead can only be used on a corpse, but they are more flexible because you can put the equipment you want them to use on the corpse before summoning them. This is especially useful once you get the master spell Dead Thrall. You have to be careful not to lose your gear, though, since sometimes they disappear when fast traveling.
Overall, Atronachs are easier to use and maintain, but Undead are potentially more powerful if you take the time to manually equip a corpse before summoning.
Personally I prefer Atronachs because making the Undead useful is really time consuming and tedious, and Atronachs are almost as powerful anyway.
Don't forget draemora lords! I read a few places that they fall into the atromancy category, but not 100% myself if the perks affect them. There's no thrall spell for them, but they have been, hands down, the best part of being a caster type. Storm is great for ranged damage, and I've been wanting to try out the undead thralls but those lords are hard to beat