I saw both in the theater.
It's hard to choose, because I saw Shaun of the Dead first. So that might have subconsciously biased me towards Hot Fuzz in thinking it was a follow up picture, or, to put it another way, a spiritual sequel.
Of the two though, Shaun of the Dead elicited the most laughs from me and seems to be more consistently quoted by my associate employee contemporaries than Hot Fuzz.
