Is there any difference between SqlCommand.CommandTimeout andSqlConnection.ConnectionTimeout in .NET?

Yes.  is how long a single command can take to complete.  is how long it can take to establish a connection to the server to start with.

For instance, you may be executing relatively long-running queries - it's perfectly okay for them to take 10 minutes to complete, but if it took 10 minutes to make the connection to start with, you'd know that something was badly wrong.