First time playing through them I enjoyed Gay Tony more for adding a club atmosphere to Liberty City's nightlife. But playing them both again recently, I think Lost and Damned is better. I loved the whole dying breed of bikers storyline contrasted with reality TV, cell phone-obsessed America.
I really like them both but I have a pretty big problem with Lost & Damned. In the end you gain the favour of a high ranking politician and you need to kill a guy who is in jail. You would think that the politician could get you alone with your target. Instead, he just tells you to blow the fuck out of the main gates at the prison and gun down dozens of guards and fight your way to the target. Thanks for the help asshole.
I guess I'm in the minority here but I prefered The Lost and Damned. I prefered the story, gameplay, tone and actually also the gameplay in TLAD. The grenade launcher was super fun to use and they made riding bikes really enjoyable for once. Plus it was cool to ride as a gang through the city. They captured the tone of the biker gang culture really well, I say without any knowledge of being in a biker gang, and that really set it apart from anything else GTA IV releated. Plus it's basically Sons of Anarchy the videogame.