I have one of each, a male budgie and a female cockatiel.
Jerry, my budgie, is pure comedy

He's a great talker - learning new stuff all the time. He's affectionate and so much fun. I hand tamed him myself and we have a wonderful relationship together.
Lulu, my cockatiel, is a little sweetie pie. The main difference between my budgie and cockatiel is their energy level. Jerry is very hyper and active (sometimes a bit high strung

). He loves to fly and flit around and check things out. Very curious little guy. Lulu is very mellow and calm and more than happy to sit on my shoulder for hours. She plays with toys, but does not go as insane over toys as Jerry does - he hangs from his toys like Tarzan and he hangs upside down from my finger and jumps on my nose, etc etc.
I love them both and think they are both wonderful pets (they're my kids, ok?

) They do have very different personalities.
Lulu is rather quiet, making only a few distinct calls. Jerry is usually chattering away most of the time in either budgie talk or in English (sometimes a mixture of the two

). He's not loud when he jabbers, it's at a very tolerable noise level (I could listen to him all day). When Lu makes her calls, she can be fairly loud (not unbearably loud, but louder than Jerry).
As far as which make the better pets, I think it's all about how much time you put into them, as far as any bird is concerned. If you put a lot of time and effort into bonding with them and include them into your family, I think you should be able to have a wonderful relationship with whichever bird you choose.