For Lipschitz functions in finite dimensional spaces, Gateaux and Frechet differentiability are the same, but there are huge differences when the domain is infinite dimensional. Lipschitz functions are Gateaux differentiable off a null set when the domain is a separable Banach space and the range has the Radon Nikodym property (e.g., is reflexive), where "null set" can have any of several different meanings. On the other hand, it is rare for a Lipschitz function on an infinite dimensional space to have a Frechet derivative anywhere. A great theorem of David Preiss says that a real valued Lipschitz function on an Asplund space has a point of Frechet differentiability, but it is not known whether a complex valued Lipschitz function on an Asplund space has a point of Frechet differentiability (although some wonderful progress was made recently by Lindenstrauss and Preiss).
If a bi-Lipschitz equivalence from a Banach space X to a Banach space Y has a Frechet derivative at some point, then the derivative is an isomorphism from X onto Y. If it is only Gateaux differentiable, then the derivative is only an into isomorphism. It gets worse when you look at Lipschitz quotients (introduced in my paper with Bates, Lindenstrauss, Preiss, and Schechtman): The Frechet derivative of a Lipschitz quotient is a surjective linear operator, while the Gateaux derivative can be anything!
Look at the book by Benyamini and Lindenstrauss , [BL], Geometric nonlinear functional analysis, to learn more.
For a useful concept that is weaker than Frechet differentiability, take a look at the sections in [BL] that treat $\epsilon$-Frechet differentiability. There are much better existence theorems about Lipschitz functions having for all $\epsilon > 0$ points of $\epsilon$-Frechet differentiability than having points of Frechet differentiability, and for many applications it is just as good to have such points as to have points of Frechet differentiability.
