Kalács is Bejgli's cousin. The basic difference between the two is the dough. While they both contain yeast, Kalács is kneaded and Bejgli is not. Bejgli dough is thinner, harder, and has more filling.
Kalács tastes the best fresh out of the oven, but you can warm it up for a few seconds and it is still pretty delicious even after a couple of days. Bejgli stays fresh for a couple of weeks.