I've done both, and it's really a toss up for me.
With kids, I really thought the Halloween stuff was better. They loved dressing up, and trick-or-treating throughout the park. It was also a special moment when my son, dressed as Tony Stewart, went to ride Tomorrowland Speedway, and the CM saw him and started yelling to the other CMs, "Hey, everybody...Tony Stewart is here to drive our cars...etc"...and, then he asked my son for an autograph! Special. Also, there was just something cool about knowing I was riding HM on Halloween night, as we were actually there on Halloween night a few years back.
If I wasn't with kids, and just wanted to take a more relaxing approach, the Christmas stuff would have ranked higher. While it felt like something was missing to me, it was strictly because the kids were really hyped to ride more rides with shorter lines, so we didn't really get to watch many of the Xmas themed shows. It felt like just another night in the part, with the added benefit of cookies and cocoa. But, if the kids weren't there and we were watching the shows more, it might have felt different.
We'll see...next trip is less than a month away, and we do have tickets to the Christmas party! We'll try to con the kids into more shows this time!