They both mean "each individually", "each on its/his/her own", or "respectively". The main difference is that 각자 is used for people only, while 각각 may be used for objects as well as people. ex) 각자 운전해 가자 / 각각 운전해 가자 - Let's each drive separately. 선물들을 각각 따로 포장해 - wrap each of the gifts separately. 선물들을 각자 따로 포장해 - bad sentence! (or 각자 may mean the people wrapping them, not the gifts themselves)