First of all, FMOD is actually just a playback engine for MODs much like BASS and MPP SDK.

openAL on the other hand is the aternative to DirectSound, like openGL is to DirectDraw/Direct3D. I think that the one advantage of openAL/openGL is that it's cross-platform(Linux, Windows, Mac, etc). Otherwise I'd assume that they are pretty much alike. I however have not played around with openAL before so I can't tell you much more than that.

If you would like to see what you're options are for module playback, I'd suggest MPP SDK. It's fast, excellent quality playback and the best part, it is portable. It itself only mixes the module for playback. It doesn't playback the sound so you can take the resulting audio stream that comes out of the mixer and stick it into any audio playback library you want. DirectSound or openAL. You just need one tiny dll file and the unit for it. Another big bonus is that if you want to sell your game as sharware or freeware, its FREE. No licences or anything. BASS and FMOD will make you pay for this, so I don't recommend them for anything serious unless you plan on making $10,000+ with it. Even then.... free....

Turbo is hosting it right now on his main page.