Golden Comet and Gold Sexlink often refer to the same general variety of hybrid chicken. However, as Moonshiner said, they are not all the same (even though some go under both names). Additionally, since they are hybrids and not true breeds, Comets and Sexlinks from different hatcheries may vary in appearance and are often descended from different (but similar) breeds.
Gold Comets and Gold Sexlinks are often bred from Delawares, Rhode Island Reds, Rhode Island Whites and sometimes Leghorns... Some hatcheries throw some Wyandotte in there to produce what are often called 'Cinnamon Queens'. Since they are cross-breeds, crossing a Comet or Gold Sex-link with another one often results in varying offspring.
Other names that similar hybrid chickens are sold under include: Production Sex-links, Isa Brown, Cinnamon Queen, Red/Golden Buff and Red/Gold Star.

Many hatcheries have several different varieties of crosses and call them different things.
There is a black sex-link variety (often known as the black star or black sex-link) that is very similar (size, build, temperament, production) but with iridescent black feathers and gold markings concentrated around the head/hackles instead.
Here is a helpful link that explains more differences/specifics:
http://feathersite.com/Poultry/CGP/Sex-links/BRKSexLink.html