We've done both (MNSSHP in '04, MVMCP in '05).
We're returning to WDW again this year in Dec. and will do MVMCP again because we had a blast and LOVED the infusion of holiday spirit everywhere.
BUT -- if I had to choose which party, I'd go for October and MNSSHP. That's because while Christmas is everywhere (at WDW, wonderfully, and everywhere else that time of year), Halloween is only pull-out-all-the-stops at MK. We thought the parade was better, the transformation of MK more intense, and the overall experience more unusual. WHile the Christmas decorations at MK are fantastic, they ARE up all month, for everyone to see (although they do a little extra special stuff just for the party). But Halloween really is decorated just for the party in a way that you can't see otherwise (unless someone tells me I'm wrong b/c they do it up on Halloween day itself?).