Well, it depends on the games you already have. If you have RSE, then get XD, because many of the Shadow Pokemon are from Kanto. If you have FrLg, then get Colosseum, because many of the Shadow Pokemon from there are still available, but harder to get. If you hae both, well, let's look at the advantages:
Colosseum:
All Johto Starters easily available
Rare berries that are harder to get in other versions
Berries that can't be gotten in other versions
The only game Ho-oh can be captured in without a Mysticticket
XD:
Easier access to many "exclusive" Pokemon, such as Electabuzz, Magmar, Weepinbell, Scyther, and more
Rare berries that are harder to get in other versions
The only game Lugia can be captured in without a Mysticticket
All Shadow Pokemon have special moves they can't learn any other way
Move Tutors
More TM's than Colosseum
I may be forgetting some stuff, but that's basically the advantages of each. If I were you, I'd try to get both, and play Colloseum first, because XD has major spoilers for most of Colosseum's storyline.