The basic difference between these objects is the ‘scope’ in which they are valid:
a) Zend_Registry : request scope
b) Zend_Session : session scope

a) Zend_Registry is used to store objects/values for the current request. In short, anything that you commit to Registry in index.php can be accessed from other controllers/actions (because EVERY request is first routed to the index.php bootstrapper via the .htaccess file). Config parameters and db parameters are generally prepped for global use using the Zend_Registry object.
b) Zend_Session actually uses PHP sessions. Data stored using Zend_Session can be accessed in different/all pages. So, if you want to create a variable named ‘UserRole’ in the /auth/login script and want it to be accessible in /auth/redirect, you would use Zend_Session.