I must admit, after playing both games and thoroughly getting into them, I definitely enjoyed SKATE more.
When THPS 2 came into my life, I thought it was the greatest skateboarding game this side of the galaxy, but that feeling left me as soon as I picked up THPS 3. The series has lost a lot of innovations and as a real life skateboarder, nailing 900 from rooftop to rooftop can only hold its appeal for so long. Sure the flatland tricks are amazing, the feats incredible, but that's just it, that's where the buck stops. Anyone, and I mean ANYONE can press X then O for a grab. It's not a difficult concept in the least.
SKATE on the other hand, is fresh and vibrant. The controls are spot on, the city is massive and free roaming, and the challenges don't require you to stay up all night performing 1080 quad heelflips to kickflip McTwists over the Empire State Building. It's not perfect, but flows better for someone seeking an interactive experience and not just a button mashing good time.
I've been playing both games online, and while THPG does excel in this area, SKATE shines as well. You won't find masses of 13 year olds stomping out a Grillion points through manuals and casper slides in SKATE, but you will find a more seasoned skater who can nail a particular line for any level you come across.
Overall, I'd have to go with SKATE for a feel good time that you and your buddies can enjoy no matter what mood you're in, but THPG for those moments when you just have to pull off a 900 over 30 cars set ablaze.