Is ther any difference in sustain or anything else with these two styles?

There is a difference. A neck-thru has the neck going through the entire body, a set neck doesn't go through the entire body of the guitar.

Neck through almost always allows for better fret access as well as a touch better sustain, in theory. But the human ear probably couldnt tell, but i would go with the neck thru simply for the fret access.

Search. There's another one that explains this.

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