For my money, Fallout 3 all day long.
It's bigger, more adult, more in depth, more varied and more fun. Better graphics too.
And you can be evil if you want... seriously, how often do you get to be evil and detonate a nuclear bomb in a random peaceful town?
However this depends on the person.
I prefer RPG's to a first person shooter personally.
You play one shooter, you played em all.
RPG's are like snowflakes... unique and all that jazz.
EDIT: To slightly disagree with the poster below me's simple answer (no offense)... but Fallout 3 has plenty of action. And INTENSITY. You actually care deeply about the action and will even scare the heck out of yourself when some deathclaw or feral ghoul comes sneaking at you around the shadows of a nuclear irradiated metro tunnel. You actually CARE about your guy/gal, you MADE him/her. Who cares about Master Chief... really? Just some joker with a funny hat.