Yeah there are definitely similarities between the two, though only really superficially, I think. Both of the main characters begin as ordinary guys who happen to come upon an ordinary power, and try to use it for good. After that though, the two series really go off in different directions, with Code Geass becoming a resistance story, while Death Note sort of evolves into a detective-thriller hybrid. Despite Lelouch dying, the end of Code Geass was for the most part optimistic, while the end of Death Note I viewed more as nihilistic. But as for which one I find better, I don't know.
The one major complaint I have about Code Geass is that I view the show as kind of xenophobic towards America. While it really isn't America (CG being alternate universe, and everything), to me the show kinda comes off as having a kind of attitude like, "America is being a bully to innocent Japan." Of course, this may just be me, and I still like the show despite it. The only other complaint I really have about the show is that I found R2 really underwhelming. It wasn't necessarily bad, but I felt a lot more could have been done, or the show could have reached the same ending in a different way.
The one thing I really did like about Code Geass, though, is that it really didn't seem to take itself too seriously, and seemed to have fun with it's characters. Between the constant fanservice shots of all the female characters, Spinzaku, and the gloriously hamtastic performances of JYB and Crispen Freeman, the show is definitely something that's enjoyable and fun to watch.
I don't really have any major complaints about Death Note, like I have about Code Geass. The only big complaint I really have is that I don't particularly like Near. Perhaps that was intentional, as L was also a bit strange as well, but I think I would have enjoyed it more if Mello was the only replacement L in the second half of the story, instead of the quasi-L character Near was.
I also enjoyed how over the top Death Note was as well, with all of these master plans playing out where L and Light thought exactly what the other was going to do, and formulated plans accordingly. Wildly unrealistic, but entertaining, nonetheless.
As for which of the shows I enjoy more, I have to go with Code Geass. That choice in the end comes down to the main characters, Lelouch and Light. While both characters do succumb to some of the darker aspects of their powers, Light fully falls into and embraces the darkness. By the end of the series, it becomes clear that he is only using the Death Note to keep the population of the world fearful and under his control, rather than his initially stated goal of making the world a better place. While Lelouch definitely performs some morally questionable acts throughout both seasons of the show, at the end he shows that he never really forgot what his true purpose was, and strove to create his new world at the cost of his life. He dies believing that what he did made the world a better place, while Light died (in the anime) running away and fearful for his life. Perhaps it's just because I'm an optimist, but I like the idea of Lelouch keeping his ideals more than that of Light getting justly killed. That's why I enjoy Code Geass more than Death Note.