I'm sure others will be able to answer this with more authority than I, but here is an answer from my experience, and from what I know about credit unions.
Whereas banks are almost always for profit businesses with a mandate to make as big a profit as possible for their stock-holders, credit unions are not-for-profit organizations owned by its members. Because of this, fees tend to be lower, and rates of interest paid for checking, savings, CDs, etc. tend to be higher.
Also, in my experience credit unions tend to be run by people in the community, and it's much easier to build relationships with them. I belong to a credit union that has three branches within two miles of my house, and several of the tellers in each one know me by name.
And because it's easier to build a relatonship with a credit union, I feel credit unions are more likely to take a risk on its members.
I, too, have a thin credit history. I just never used credit. This last summer, when I needed to buy a new car, i went to my credit union, and they went to bat for me with their underwriters, and got me a loan with a great rate.
I hope this answers some of your questions.
