OCaml is more verbose than F#. F# is on par with Python.
F# besides having all features of OCaml. (You could (and maybe still can) compile OCaml using F# compiler.) also has some nice extras. Workflows (think monads in Haskel). Workflows in turn used to implement Asynchronous Workflows, and mailbox thread processing. So you get Erlang style multithreading.
Another point for F#: since it's on .Net and .Net actually runs on multicore machines the way one would think it should run. OCaml on the other hand has garbage collection that does not play with multicore very well.
Last but not least: F# can call any .Net function or create any .Net object -> you have access to a lots of things out of the box. F# - batteries included; OCaml - batteries are not included.
[Edit - spelling and formatting]
Also F# is not all of Ocaml. To mind, it lacks functors, ocaml strength modules and polymorphic variants. Ocaml also has the potential to be faster. At least in the single core case.
F# can only go as fast as .NET. Compiled OCaml though is very fast - I completely agree with you.
Some important features, such as modules, are missing in F#. I suppose the intention is to replace them by interfaces and classes, but modules in particular are an important omission that makes me prefer OCaml (though I like both ;)).
Of course, F# adds lots of things; here's a nice summary: http://stackoverflow.com/questions/179492/f-and-ocaml/248527...
[1] http://citeseer.ist.psu.edu/icons/pdf.gif;jsessionid=FF06FC4...
If you go to the article at the bottom it lists some limitations. Libraries, tooling and proper parallelism including in GC. Also IMO F# ties OOP with functional better, on par with Scala.
If you weight these against F#'s weaknesses: lack of full modules and functors, tied to .net and mono / non native code generation and they come up being more of an issue then you would prefer F#. Which is the choice I ended up making.
http://cs.ioc.ee/~keiko/FSharp.html
http://news.ycombinator.com/item?id=1826564
http://stackoverflow.com/questions/4507600/extension-techniq...
http://stackoverflow.com/questions/4239121/code-compatibilit...
http://stackoverflow.com/questions/6390665/hesitating-betwee...
[1]: http://video.google.com/videoplay?docid=-2336889538700185341