Select Not equal to versus Exclude Single Value

As a single line they'll give you the same result (not sure if one is more efficient than the other). If you start putting in multiple lines then it matters.

The "Select" options build your list, and will add any item that matches any of those lines. So if the field I'm looking at is names of fruit and I select ≠ "banana" as well as ≠ "orange" it would give me everything because bananas will be included when looking for items that aren't oranges and vice versa.

"Exclude" then goes through the list that Select made (or just everything if you left the Select list blank) and removes what matches. Adding multiple exclude = would work as you probably expect it to, but you can hit the same issue as above with exclude ≠. Only this time the overmatching would dump all your results and return nothing.