I've done both, but Chef Mickey's was 10 years ago, and Cape May was last year. We *loved* Cape May and would consider it a "must do" for Character Dining.
If memory serves, Chef Mickey's is much more hectic and loud and busy than Cape May. Cape May is very laid back and mostly quiet and just "nice" and relaxed.
If you just gotta see Mickey, then you want Chef Mickey's. But if you can live with just seeing Minney, Pluto and Donald, then Cape May is a great place.
This next time we'll be doing Chef Mickeys and Cape May.