This is actually a difficult decision for me. I love both of the games, very much, and have always enjoyed going back and reading their game guides just for fun. I can't even tell you why I have gone ahead and done that before, but I just have enjoyed it over the years. With that being said, I'm going to have to go with XD Gale of Darkness. It's very close, but there are a few reasons why.
Let's begin with the beginning aspect; the starting Pokemon. As much as I love Umbreon and Espeon, I adored the choice of how you were going to train your Eevee. I think having both Umbreon and Espeon helped in the long run, but having an Eevee that you could train in any direction you pleased was an outweighing factor. If anything, I almost wish I could go back, and properly train my Eevee before making it Vaporeon. I got a lot out of that Vaporeon, and I'm happy that it's now safe in my Sapphire cartridge for as long as its memory holds.
Next up is the Shadow Pokemon's moves. I loved Shadow Rush in Colosseum very much, and the recoil effect in Gale of Darkness made it a move I avoided. In that sense, Colosseum wins, but Gale of Darkness had a much larger variety of Shadow moves - and by that, I mean it had more than just Shadow Rush. It was interesting learning an entirely new type and set of moves, that we would never use again, but the variety of Gale of Darkness' moves was just amazing. The amount of time and effort they spent was phenomenal.
While I just covered their moves, it's best to actually cover the Pokemon themselves. The selection in Colosseum was better, in my opinion. I adored Houndoom in Colosseum - the only Pokemon in Gale of Darkness that had half of my love that I did for Houndoom was Ursaring. I enjoyed the fact that Gale of Darkness had more Gen I Pokemon, but I thoroughly enjoyed Gen III's Pokemon more; I grew up playing Sapphire after all. This was an easy blow out for Colosseum, as Gale of Darkness hardly impressed me in comparison. I really liked Lugia, but I never got around to purifying it.
And with purifying kept in mind, Gale of Darkness clearly wins. Having the advantage of purifying the Shadow Pokemon in that machine - whose name escapes me at the moment - made it easier if you weren't sufficient with - or didn't like - that particular Shadow Pokemon. In Colosseum, it was either purify them, or leave them in your PC for the remainder of the game. The latter isn't a good idea by any means, in my opinion.
Now to cover an aspect that Colosseum lacked - which made the game feel empty in parts - wild Pokemon. Wild Pokemon were interestingly implemented in Gale of Darkness, and I found myself very excited to try and get my hands on every single one of the wild Pokemon that Gale of Darkness had to offer. To my discontent, I learned that Munchlax and Bonsley were not able to be caught. I really wanted Bonsley more than anything, but I can only assume that they only had the Pokemon's design created at the time, and was in no way ready to be used in any Pokemon battles. However, I will always treasure some of the Pokemon that I got from the wild in that game - whether it was from catching it, or trading it for another.
The legendaries are another win for Colosseum, though. My adoration for the elemental dogs grew to a new height when I found out that they were able to be caught in the game. I don't recall ever successfully catching Entei - sadly - but Suicune was one of my most used Pokemon in Colosseum once I snagged it. I don't think I actually made it to Raikou; it's been too long, and I only remember being at the part where Shadow Miltank appears. With all of this discussion brewing in my mind, though, I do have a feeling that I will get around to finishing the game like I did Gale of Darkness.
And then of course there is the ending to Gale of Darkness. I only remember fragments of the ending, but I know it brought many tears to my eyes; I was only about eight back then, mind you. I don't think I have even cried half as much for Assassin's Creed as I did for Gale of Darkness' ending. Whether this is a good thing or not, I'm not entirely sure.
With all of this kept in mind, I know that Gale of Darkness is my favorite. That by no means insinuates that I think Colosseum is a bad game; quite the opposite in fact. I wish that they'd go ahead and make another game like Gale of Darkness and Colosseum; I would make sure to pre-order it.