Don't they both point to the MusicCity servers? If so, it probably doesn't matter which you use. I guess whichever is more comfortable for you.

Personally, I use WinMX for popular songs. But, I mostly use AudioGalaxy. They recently implemented a bunch of song blocking, so you won't find a lot of popular stuff on it. However, if you're looking for anything rare, AudioGalaxy is the way to go. I've been using it to preview song clips for an internet station I'm building at MusicMatch. It's really helped.