"This interests me" and "this is interesting to me" do essentially mean the same, but to my ears as a native British English speaker, there is a slightly different inference.
"This interests me" is the more natural phrase of the two, and doesn't really infer anything beyond the face value. If you said that football interests you, for example, that would not really be remarkable as lots of people like football.
"This is interesting to me" does sound like you mean that something is of particular interest to you - and perhaps not so much to other people. It wouldn't necessarily mean that - but it could imply it. It would sound a little odd to say, for example "football is interesting to me", because it is interesting to a lot of people.