Doing a Ph.D. is, in essence, telling your future employers that you’ve been trained in scientific research. This means that you have spent about 2-5 years working on a project independently and suitably publishing your results. It gives you the credibility to work and possibly lead research teams or teams of research assistants/programmers to a novel project. The pay starts off higher as well since usually employers count your grad school years as working experience.
A master’s degree is a higher level training in a certain area. Some masters are terminal degrees with no research part, just more classes that are more specialized and difficult. Others will have a small thesis option. The master’s degree is quite flexible, in my opinion, and can be done in 1-2 years. It’s a good way for someone to switch fields.
If you’re wanting to do research, having only an M.S. may hurt you, but it’s not unheard of to hear principal investigators that don’t have doctoral degrees, although they seem to be rare. They are advantageous in that they do show you can do research and handle tougher material. People seem to look well upon M.S. degrees, and it’s not automatically assumed that you’re unable to function in the business or executive world, for example.
Having a Ph.D. can close some doors for you. The general attitude and stereotypes about Ph.D. holders are that they’re uber academics/nerds who can’t really function in the real world–this is an especially pertinent attitude to paying attention to in technical fields like engineering and science. So it closes some doors. You’ve also got less jobs to choose from, since you’re vastly overqualified for many and you probably won’t be able to find any good entry level positions because people will just assume you’ll get bored and leave as soon as you find something better, so there is a cost to having everyone think you’re a genius.
In the end, you’ll want to think hard about what you want to accomplish and then choose the appropriate degree.