In terms of features, neither one is particularly better than the other. I'd give AOL the overall edge simply because far more people have AOL instant messenger accounts. But Windows Messenger is a lot less annoying; it doesn't open up three different windows full of unwanted news headlines, ads, and the like, as AOL does.
Of course, if you don't already use instant messaging, you don't really need either one.
Neither does AIM, after you whack it with a hammer until it stops wiggling. No more popups, no more ads.