Ok - Sense is the user interface. HTC takes the 'stock' android and puts their spin on it. Much the same as Motorola uses Blur and Samsung uses TouchWiz. It comes down to what extras they give your really.
Applications HTC Sense adds to the Android operating system includes:
Calculator: A calculator application
Calendar: A calendar application that automatically syncs with social networks and displays appointments, if networks are connected on the phone
Camera: A camera application
Connected Media (DLNA)
Contacts (on some phones as "People"): A contacts application that automatically syncs with social networks and downloads information about a contact such as profile pictures, email, etc
Desk Clock: An application for phones that have a kickstand to emulate a desk clock
Flashlight: Use of the camera flash on phones to act as a flashlight
Footprints:
Friend Stream: Integrates Facebook, Twitter, and other social networks
Gallery: An application used to view pictures or videos
HTC Hub (HTC Sense 2.0 or above): An app that features extra wallpapers, ringtones, and widgets for the user to download
HTC Likes (HTC Sense 2.0 or above): Apps recommended by HTC
HTC Watch (HTC Sense 3.0 or above)-Movie Store
Internet: an internet browser.
Mail: An email application[8]
Mirror (HTC Sense 2.1 or above): Use of the front-facing camera (on some phones) to act as a "mirror"
Music: A music player
Plurk (Asia Pacific versions only)
Quick Lookup: A search that looks up phrases on the internet
Reader (HTC Sense 2.0 or above)
Stocks: A stocks app
Transfer Data (HTC Sense 2.0 or above): Assistance of migrating from one phone to another
Peep: a Twitter application
Weather: An app that displays weather
Widgets for Android include:
Bookmarks
Calculator
Calendar
Clocks
FM Radio
Footprints
Friend stream
Facebook Chat (HTC Sense 3.5 and 2.1 for Messenger)
HTC Likes
HTC Watch
Mail
Messages
Music
My Shelf
Navigate
News
People
Photo Album
Photo Frame
Pictures
Plurk (Asia Pacific versions only)
Search Anywhere
Settings (for turning on/off GPS, data connection, 3G, Wi-Fi, Bluetooth)
Sync All
Stocks
Peep (Twitter Widget)
Weather[9]
I think all the companies do this to a degree. If you ever play with a 'vanilla' phone - which is stock android then you'll likely notice the differences.