<p>I'm writing an app for Blackberry that was originally implemented in standard J2ME.  The network connection was done using <code>Connector.open("socket://...:80/...")</code> instead of <code>http://</code></p>

<p>Now, I've implemented the connection using both methods, and it seems like some times, the socket method is more responsive, and some times it doesn't work at all.  Is there a significant difference between the two?  Mostly what I'm trying to achieve is responsiveness from the connection to get a smooth progress bar.</p>

Since both operate over a network I don't think you can guarantee a smooth progress bar. You might have more chance of that if you remind the person to stay in one place so you have a chance of a consistent connection ;)
There is less overhead with a socket connection than an HTTP one. In fact, HTTP connections run over the socket connection. You can take advantage of the reduced overhead of the socket connection to appear more responsive, but you will likely have more work to do than you would with HTTP. The API is more low-level so coding is more complex.