Sephora is like a girly girls dream! It's like you walk in and the there's music, beautiful smells and welcoming workers ready to assist you in all your buying needs. The make-up always draws me in...even though I usually opt for a pretty gloss and moisturizer. Not so fancy, huh? Anyhoo: I would say Sephora creates an environment that allows you to test out products in a nonthreatening (aka I need a commission environment) and ask questions, if you just aren't sure if a product will work for your hair/skin/etc.
In addition, they have a great customer rewards program (Beauty Insider) that gives you free gifts once you reach a certain point level (which I think is more generous than ULTA) and they give you a gift every year on your birthday.
PS: Don't be afraid to ask for a sample. It's probably worth it and you can come back to Sephora for the full size if you love it.
PPS: My choices...Sephora has so many great items its hard to choose just one but one of my "must-haves" is the Sephora brand Coconut Body Wash. Other items in Sephora that might be a good pick-up could be a guy gift (cologne), girl gift (everything else..smile...for example the perfume, the body gels, and of course the motherload of make-up)