Each will give you different data. For example Yahoo Site Explorer will show a different (and more accurate) count of inlinks than Google. Google webmaster tools, however, will give you recommendations on broken links, duplicate content, etc. Things that are more important in ranking in Google. The botttom line is Google is the market leader. As a result it will send you more traffic if you site is ranked so you'll want ot pay attention to the tools they provide you. If you throw Yahoo into the mix you cover approximately 60-80% of all search queries. Not bad market coverage by any standards! As the previous post mentions, you want to rank in both right?I don't think it is a matter of choosing one over the other but a matter of intertwining their tools into your website management to achive results in both engines. (there is a rumor out there that MSN will be launching their own webmaster toolset as well).Check out this site:
http://www.ppcforhire.com/semtools.html They have tons of free internet marketing tools (including a link to Yahoo Site Explorer and Google Webmaster Tools).