They are not completely synonymous. "Revenge" is more spiteful, more punitive, injurous. "Vengeance" is more retribution for the sake of restoring justice. Like:
"The vengeance of the Lord was upon him."
You couldn't use 'revenge' there, really. But you can say:
"When his family was slaughtered, Charles Bronson took revenge in his usual style, killing everything and everyone around him."