Wax paper and parchment paper can be used interchangeably for some tasks; however, properties of wax paper inhibit its use for certain cooking duties. Usually wax paper cannot be used in the oven while parchment paper is recommended for baking.
Wax paper is tissue paper coated in parriffin wax on both sides, while parchment paper is coated in silicone. Both are grease and moisture resistant. Parchment paper can withstand high temperatures while wax paper will smoke, melt or burn in a hot oven.
While baking, parchment paper should be used to line cookie sheets. Parchment paper can withstand temperatures up to 420 degrees Fahrenheit but should not be used for any higher temperatures. Wax paper should not be used in the oven except for lining cake pans because the surface of the paper will not be exposed to the heat of the oven. Additionally, parchment paper should be used for sticky treats because it is less likely to stick than wax paper. If wax paper is used for gooey goodies, it should be greased first with shortening or oil.
Both wax and parchment paper can be used for a variety of other household tasks. Each can be used to line cutting boards, kitchen drawers and microwave surfaces. Wax and parchment paper are suited for separating layers of foods before freezing, such as hamburgers. Also, either can be used to make icing cones for decorating baked goods.
References and ResourcesReynolds: FAQ
Food Subs: Wrappers
Cooks Recipes: Waxed vs. Parchment
Aki's Kitchen: Plastic Wrap, Foil, Wax and Parchment Paper