I've got two files named "hello.c" and "hello1.c"
In hello.c I have:
#include <stdio.h>
main()
{
  printf("Hello World!\n");
}

In hello1.c I have:

#include <linux/module.h>
#include <linux/init.h>
#include <linux/kernel.h>
#include <linux/sysctl.h>
#include <asm/io.h>
#include <typedefs.h>
#include <bcm4710.h>
#include <sbutils.h>

static int __init diag_init()
{
                printk("Hello World!\n");
    return 0;
}

static void __exit diag_exit()
{
    printk("Byebye!\n");
}

module_init(diag_init);
module_exit(diag_exit);

I can use mipsel-uclibc-gcc to compile hello.c to a binary file hello and then use wget to download it to WRT54G and then execute it. It works well.

However, I can only use mipsel-uclibc-gcc to compile hello1.c to hello1.o
and then use
    insmod helloworld.o
    rmmod helloworld
    dmesg
to get the result.

So what's the difference between two files?
How can mipsel-uclibc-gcc tell the difference between them?

hello.c is a userspace program to be compiled using the following command :

mipsel-linux-uclibc-gcc hello.c -o hello

hello1.c is a kernel module that needs to be compiled with various CFLAGS, such as -D__KERNEL__

If you use the file command to determine what kind of file they are. hello is a MIPS executable, and hello1.o is a MIPS relocatable object.