This paper conducts a comprehensive analysis of user experiences by comparing navigation and cybersickness between two distinct categories of immersive devices: CAVE and HMD. Using consistent methodology and analysis for both technologies in the same application to underscores disparities in user experiences, particularly in navigation and exploration tasks, addressing a gap in the existing literature. The study comprises two experiments with differing navigation paradigms. The first demanded active participant navigation in a complex virtual environment, focusing on distinctions like field of view and field of regard intrinsic to CAVE and HMD technologies. Physiological parameters (heart rate and skin conductance) and the Virtual Reality Sickness Questionnaire (VRSQ) were recorded to assess cybersickness levels. Results indicate no significant variations in self-rated cybersickness but a higher heart rate for HMD and longer completion time in the CAVE. Participants favored HMDs personally. In the second experiment, participants were guided through an automated virtual environment (VE) walk, recording similar physiological and psychological measurements. Although no significant inter-device variations emerged in psychological measurements, a notable influence of the HMD on physiological cybersickness data and postural stability was observed. Nevertheless, other measurements and participant feedback did not align with substantial cybersickness. Overall, our results provide a better understanding of the differences between these two VR displays.