Main Improvements in the Sony A330 Over Previous Model, the A300 – Todd3608's summary:
… the main improvement and that is image quality. The auto white balance is much better. The noise control is improved. The autofocus is super fast now – even beats the T1i in some cases according to the new Pop Photo review. Sony has put alot of work in its JPEG engine and it shows.
The camera accepts SD cards – Yes!
The menu system is one of the best if not the best I have ever seen in an entry level DSLR.
A complete list of what changed and what remained the same between the two models can be found at AlphaMountWorld's A330 Review.