From memory I beleive SJOW is a cable intended for hard usage, and exposed use (not in conduit), for exmaple for flecibale cables for stage lighting and equipment (for temporary but hard or abusive use purposes).
You can not use THWN without enclosing in a raceway (conduit).
SJOW is called "junior hard service cord", which would be an assembly of conductors with thermoset insulation (e.g. cross-linked polyethylene), and an overall jacket. It is intended for rugged duty in wet environments. This would typically be used for portable equipment.
THWN is general purpose building wire. The insulation is typically PVC.
I believe THWN can be solid or stranded, but still not considered flexible in the same sense as SJ, i.e 14ga. THWN has 7 strands vs SJ having 41.
The main difference is that THWN (THHN) is individual conductors that must be used in an approved raceway, i.e. conduit, whereas SJOW is mulit-conductor cord that is intended to be used for connection of temporary or portable equipment, stand-alone in free air or laying on the ground (it is nearly impossible to pull S-type cord of any sort through a conduit anyway. I know, I've tried!). Be careful though, most codes will not allow "portable cord" like SJOW to be used for permanent installations without protection from physical damage, in which case you may as well go with the THWN.
"Venditori de oleum-vipera non vigere excordis populi"
