They mean roughly the same thing. Usually they describe a physical attribute, but you can use them to describe anything really. e.g. The view from the mountains was absolutely stunning. The building we stayed in was gorgeous; it was over 300 years old! That was a gorgeous meal. BUT, stunning can also be used in a more negative way - as a synonym for shocking. E.g. That was a stunning piece of news; I'm so upset that I've lost my job.

stunning also has a small element of surprise. To "stun" is to shock. A stunning woman surprises you with her looks. Wow!