One of the major issues would be operating system support. They only support 64 bit Linux (and that support is Beta).
They also support windows: I've tested Intel's OpenCL SDK on my Windows machine some months ago, and it runs fine. And yes, the same code may be run on both GPU and CPU. I tested a Quaternion 4D Julia fractal implementation, and on my machine it was 7x faster on the GPU (Nvidia Geforce 9800GT GPU @ 1.5 GHz, and Intel Core 2 Quad Q8200 @ 2.33GHz.).
OpenGL will only help with the graphics, whereas OpenCL should help with the fractal calculation (which I'm guessing is more likely to be the performance bottle neck).
Just to be clear: the approach with OpenGL/GLSL also does the entire fractal calculation on the GPU. There is no distinction between graphics and fractal calculation and there are no polygons involved. OpenCL will not be faster then OpenGL/GLSL (but will be more flexible, e.g. allowing for double precision calculation if hardware supports it).