w/o a doubt, CoH is much easier to learn than civ 4... partially because a single play through is much quicker in CoH - once you have a large Civ game going, it takes a LONG time per turn - so you get to do the trial and error process much more often. moreover, there are far more "details" and micromanagement in civ, so to play above the easiest levels, you need to invest more time than in CoH.
the "fun" factor is hard to guage. CoH, as an RTS, is much more "in your face", exciting, etc... Civ is all about meticulous and devious strategies, economics, etc... for "adrenaline" rush kind of fun, go with CoH. for "strategic" and "intelligent" fun, civ 4. please note, however, that i am NOT knocking the strategy required to be good at CoH (especially online). just that the strategy is more simplified than in civ and has a lot to do with your multitasking abilities to handle the mayhem on the battlefield. civ 4, being turn based, has different strategies involved, and is more of a chess match than anything.
finally, which game is better overall? in the short term, most ppl will enjoy CoH more. the presentation is far better, the game is intense, and there's still plenty of strategy to be had. in the long term though, I found CoH got boring. Civ 4, on the other hand, like almost all of sid meier's games, is as addictive as heroin. after 6 months, CoH will be collecting dust, while your Civ 4 save games folder will be ever growing.
in the end though, you can't go wrong with either game - both are two of the best games ever made in their genres (real time and turn based strategy)...