It's a different kind of atmosphere, that's all. As the venue is so much bigger, so the audience is bigger, the dancing is bigger and the razamatazz is bigger.
I personally didn't care for the over-the-topness of Wembley last year, but that's just personal choice. It seemed to me that the Wembley vibe didn't really transmit itself to the TV, but I have no doubt that the atmosphere for the audience will be electric.