#define is a preprocessor directive. Things defined by #define are replaced by the preprocessor before compilation begins.
const variables are actual variables like other normal variable.
The big advantage of const over #define is type checking. We can also have poitners to const varaibles, we can pass them around, typecast them and any other thing that can be done with a normal variable. One disadvantage that one could think of is extra space for variable which is immaterial due to optimizations done by compilers.
In general const is a better option if we have a choice. There are situations when #define cannot be replaced by const. For example, #define can take parameters (See this for example). #define can also be used to replace some text in a program with another text.