Depends on what you want. I saw both.
BMG:
More theatrical and a bigger production. Lots of acting, elaborate props and stage play. Also heavy use of stage lights. There's a scene where 'live stickfigure' comes out in real life by someone wearing a complete black suit with stick figure outlines in a neon tube lightning. The whole theatre was dark but filled with live music. It felt like the stick figure became LIVE from a 2D screen to a real world. Cool stuff. Also their infamous ending is utter unforgettable.
Stomp:
More focused on beats. Not so much visual. They orchestrate catchy rhythms and music using various household objects. Unlike BMG, you're just watching them beat music in plain sight. I enjoyed this as well but is nowhere near theatrically grand as BMG which uses a complete visual experience and eyecandy on top of music.
a good example. They're still good though.
another good example of BMG being more 'theatrical' (hilarity ensues when their face on LCD starts to deviate from reality for some serious amusement and laughter).
If you've seen neither, I'd certainly suggest BMG over Stomp any day.