The idea is, if one takes the required units and passes the Comprehensive Exam, they receive the Master's (much like we will start doing in Fall 2003).
If one wants to get into the PhD program they need to pass the Qualifying Exam with a good enough score to show that you are PhD material.
Often these are one and the same test given at the same time. The difference would be what score is acceptable for the "Quals" and what is acceptable for the "Comps".
So, if you are a student with serious interest in pursuing a PhD, then it is usually your best bet to get the Master's at that same shcool. This gives you a better chance at passing their entrance exam.
Finally, in choosing a school, you want to go somewhere where there is a faculty member (or research area) who is doing something interesting in a topic you really like. To get a PhD you need to do something that has never been done before, and you will need an advisor to guide you. Usually faculty do not advise in areas they are not interested - so you want to pick a school that suits your appropriate desires/interests.