I've used both, but I prefer Google Authenticator. Just don't make the same mistake I did. I thought that like other Google products, it would be backed up if I did a factory reset on my phone - that is not the case. If you don't have the backup code for a website or exchange written down somewhere, you're more or less screwed unless you can get the support team to remove it from your account. This usually results in your account being locked for some arbitrary time frame.

Moral of the story - write down those codes and keep them safe!