Neither Australia nor Newzealand has won the T20 World cup so far. I remember Australi came very close to winning the T20 world cup in 2010. So, I am expecting both teams to fight hard for the cup. They both were able to beat two powerful teams in the semifinals. This time we will have a first-time winner if any of these teams wins the cup.
Australia has never won T20 WC but has won 5 ODI WC, on the other hand NZ wasn't able to win any WC till date. Both Aus and NZ are equally favorite for this game though odds are in favor of Aus. One advantage which Aus might have over NZ is that they have more depth in batting.