Streaming xml-parsers like SAX and StAX are faster and more memory efficient than parsers building a tree-structure like DOM-parsers. SAX is a push parser, meaning that it's an instance of the observer pattern (also called listener pattern). SAX was there first, but then came StAX - a pull parser, meaning that it basically works like an iterator.
You can find reasons why to prefer StAX over SAX everywhere, but it usually boils down to: "it's easier to use".
In the Java tutorial on JAXP StAX is vaguely presented as the middle between DOM and SAX: "it's easier than SAX and more efficient than DOM". However, I never found any clues that StAX would be slower or less memory efficient than SAX.
All this made me wonder: are there any reasons to choose SAX instead of StAX?
To generalize a bit, I think StAX can be as efficient as SAX. With the improved design of StAX I can't really find any situation where SAX parsing would be preferred, unless working with legacy code.
EDIT: According to this blog Java SAX vs. StAX StAXoffer no schema validation.