When tackling a question like this, sometimes the good old list-making method is your best friend! So, with that in mind, let's think about it this way:
1. Both poems use a style which makes use of enjambment -- where an idea or sentence runs across from one line to the next without a break -- to emphasize the idea that the speaker is addressing the listener directly, almost conversationally.
2. Theme. The themes of the two poems are very similar. Auden contemplates the idea of "suffering" taking place under the most mundane of circumstances, when people are simply going about their daily business -- one can be simply "walking along" when something terrible happens to them. Likewise, in "Out, Out --" the boy is doing his ordinary daily work when tragedy strikes.
At the same time, both poets explore the idea that whoever is "not the one dead" (Frost) may be little affected by what is an enormous tragedy in someone else's life. Auden imagines those who may have seen Icarus falling simply "sailing calmly on" in their ship, because this was not their tragedy or their concern.
Both poems, then, express the idea that suffering can have an enormous impact on one person, without affecting those who are unconnected in any way at all.
3. Both poets also allude to "great masters", although Auden does this much more explicitly, referring to certain paintings, whereas Frost's title alludes to a speech from Shakespeare's Macbeth without exploring this within the poem itself.
1. Form. Especially when discussing poetry, it's important to think about the form the piece takes; in both cases here, obviously, the basic form is poetry, but where WH Auden's poem is written using a rhyme scheme, Frost's is in blank verse, meaning that it does not rhyme, but adheres generally to iambic pentameter.
2. The narrative voices differ somewhat in that Auden does not ever use an "I" statement, whereas Frost does. This relates to the fact that Frost's poem seems to relate an incident with which the speaker has personal experience, whereas Auden's poem is based upon old paintings and myths, and considers the issue from a more universal or detached perspective.