I prefer Cynthia, but only slightly. Lance was awesome back in the day and was difficult, but now he's not as big of a deal as he was back then. Cynthia still gives me problems since her teams are well-rounded and insane, and she's a really nice, protective girl who is also really fierce. Chompy is just ridiculous. Whereas Lance has too many Dragonite and less character development. Cynthia got more airtime - Lance helped blow up the Team Rocket machine in Mahogany, Cynthia did even more. Plus she gives you a Togepi which can grow up to be a Togekiss so that alone is awesome.
Back in the days of G/S/C, Lance appearing outside of the Champion's room was something great. Now we expect more. So in the end, it all balances out, and I like both quite a bit - but Cynthia has a slight edge.