Intel HD graphics are built onto the Clarkdale CPU's (i3, i5 except for 750), GMA are older G45/G35/G41, etc based in the northbridge, overall both are horrible but HD is about 2 times GMA.
However 2 times crap is still crap.
Gaming is actually defined by whether a game is playable on your resolution. Playable is preferably at least 60 fps, but anything above 30 is playable. Either way any Intel graphics card is not suitable for gaming. Even AMD's 4200 is not good for gaming, but does outperform intel's solution at settings that are playable. A $100 gaming card gives you great bang for your buck and it allows you to play up to 1680x1050 or 1920x1080 with lowered details. You can pick up a 4850, 5670, or the occasional gts 250 which are all relatively powerful cards. For lower resolution you could get away with lower cards like a 5570, but the savings IMO are not really worth it.
I'm confused about whether to chose HD or GMA graphic for better gaming experience
Both should be good in playing madcaps. Maybe even plants vs Zombies. For real gaming go for the discrete video card suitable for your monitor resolution.
If you would tell us what is your monitor resolution and budget we can suggest the possible good options.