Lets see...
Dialgia is a Dragon/Steel type, so it's weaknesses are Electric, Fire, and Ice. It has a base stat of 150 in special attack, while it's HP, Attack, Defense, Special Defense are a little lower. It lacks speed though. It can learn pretty usefull moves like Pulse Bomb and Restore Imprison. It looks cool as well.
Palkia, like Dialgia, has a base stat of 150 in Special Attack, while Attack, Defense, Special Defense, and Speed are a little lower, but still balanced. Palkia however, lacks good HP. It is a Water/Dragon type, so it's weaknesses are Grass, Electric, and Ice. It pretty much learns the same moves Dialgia has, take away the steel moves and add the Water type.
They are pretty much the same to me, but I think Dialgia is cooler.