Is there a difference in cooking white asparagus vs. green?

Yes, white asparagus must always be peeled, no matter how thin the stalk, so I always go for thicker, more expensive ones. The skin adds both unpleasant texture and taste. Use a regular vegetable peeler, or if you can find one, an asparagus peeler. It looks like an oversized tweezer with blades on each arm. It peels twice as fas and the stalk is less likely to break from uneven pressure. I also use it to peel particularly gnarly carrots, zucchini, cukes, etc.

jbban's careful technique withstanding, white asparagus is absolutely almost always peeled. When I lived in Belgium and Germany, two countries that pretty much felt they'd created both asparagus and June, all my friends would have masses of asparagus peels going into their garbage every day.

If you live in the States, the reason you find it pickled has nothing to do with its not being delicious roasted, steamed, etc. I think it has more to do with there not being much local product.

The only real difference between white and green is that for the producer they are more labor intensive. Soil is mounded around the stalks so that they don't get sunlight, and so they are sort of albino. But thickish stalks always need to be peeled.

Every recipe I've seen for white asparagus says to peel the stalks. I believe they're extra woody due to the way they're grown. That said, I sliced white asparagus very thinly to saute and didn't need to peel them for that.