My question is, like in the case of complex differentiation for a function to be differentiable at a point (x,y) the derivative must be same no matter which direction is chosen.
So, if I have a function z=f(x, y) shouldn't the derivative from every direction must be same to make it differentiable. That is, shouldn't the partial derivatives be same because the direction used in those cases are x and y?
Explain for a vector functions too.
Good question. I think the answer is the difference in the target space. In complex case, you function maps into $\mathbb{C}$ while for two-variable case, it maps into $\mathbb{R}$. The derivative in the latter case is a linear map, i.e a matrix. Notice that multiplication by a constant complex value is a map from $\mathbb{C}$ to $\mathbb{C}$ that can alternatively be viewed as a linear map from $\mathbb{R}^2$ to $\mathbb{R}^2$. So, there is some analogy. But the reason for the difference in directional derivatives is due to two distinct definitions of differentiability.
Added: (Definitions)
Definition 1: For a map $f: \mathbb{R}^n \to \mathbb{R}^m$, we say $f$ is differentiable at $x$ if there exists a linear map $L:\mathbb{R}^n \to \mathbb{R}^m$ such that $\forall v \in \mathbb{R}^n$ the following limit exists $$ \lim_{\|v\|\to 0}\frac{\|f(x+v)-f(x)-L.v\|}{\|v\|} = 0 \ .$$ We call $L$ the derivative of $f$ at $x$, denoted by $Df(x)$. The value $Df(x).v$ is the directional derivative of $f$ at $x$ in direction $v$.
In case $\mathbb{R}^2 \to \mathbb{R}^2$ the derivative will be a linear map $\mathbb{R}^2 \to \mathbb{R}^2$, i.e. a $2 \times 2$ matrix.
Definition 2: For a map $f:\mathbb{C} \to \mathbb{C}$, we say that $f$ is (analytic) differentiable at $z$ if there exists a single $z_0 \in \mathbb{C}$ such that $$ \lim_{w \to 0} \frac{f(z+w)-f(z)}{w} = z_0 \ . $$ Now, if we identify $\mathbb{C} = \mathbb{R}^2$ and look at $f$ as $\mathbb{R}^2 \to \mathbb{R}^2$ and rewrite the fraction above as directional derivatives, then being analytic differentiable is saying that $f$ is differentiable in the sense of the definition above, BUT, such that the derivative, the $2 \times 2$ matrix, has a special form. The special form guarantees that the matrix action here is equivalent to multiplication by a complex number. The condition for a matrix to be of this type is exactly the criteria on the partial derivatives that make complex valued functions analytic differentiable. Oh, did I forget to say that in definition 1, the derivative matrix is just the matrix of partial derivatives?! You must write down a concrete example to "see" things.