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Don't fall into the trap of thinking they're the same thing or that one is always better than the other - it really depends on what you're trying to do. Rock wool and expanded polystyrene (EPS) have pretty different characteristics, and choosing wrong can mean wasted money or poor results.
Rock wool is better for thermal insulation in places that get a lot of heat and for sound insulation too. It handles high temperatures, doesn't catch fire easily, and dampens noise really well - if you're putting it behind a wall that gets direct sun all day or somewhere that needs to muffle sound, that's your option. Expanded polystyrene is lighter, cheaper, and also insulates thermally well, but doesn't handle heat as much. If you need something for a facade, attic, or interior wall without exposure to extreme heat, EPS works fine.
In practice, think about the location: what kind of temperatures will it face? Do you need to soundproof? Is it exposed? If it's something simple like an interior wall in a normal house, EPS does the job and costs less. But if it's somewhere hot, direct exposure, or where sound is an issue, rock wool pays off more in the long run - it's more durable even though it costs a bit more.
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