I always prefer Pro Evolution Soccer over FIFA due to the former's footballing realism.
That is not to say that FIFA is not good, just that it is more arcade-like.
My write up below is about the gameplay aspect of the last two iterations; where they fall short and hence areas where the series can improve upon.
PES5 Weaknesses:-
PES5 places a huge emphasis on defense and its not uncommon to see stop-n-start affairs that dog the ball in midfield battles. Very often the player defensive AI would leave holes in midfield and more so in the wings for the opponent AI to exploit. Pressure tackling leads to too many niggly fouls that result in free kicks. Very often, successfully won tackles result in the ball somehow rolling up straight to the opponent's feet. This often gives you a sinking feeling that opponent AI players are magically positioned to recieve the loose ball. On the other hand, self team AI is not the best. You can however correct that by changing team tactics or strategy to some extent. It is difficult to win headers, and even more so to make them land near a player from your team. Defensive clearances from opponent AI magically land up straight at the soles of their own player, while you are wondering why your super striker sold such a bummer when goal bound. You will often see attackers lose all their focus when near the penalty area. Also, squaring the ball from the wings nearly always presents clear-cut goal chances; what with no one closing down the attacker's run.
Comments on PES6 :-
The defense AI is better in pes6. But compared to referees in pes5, in pes6 they are very easy going. Obvious fouls go unnoticed, you will often see two footed shin-smashing tackles have no effect on the ref. A discerning gamer will notice the opponent AI often feed floaty long balls upto the striker, which he invariably wins. You will also notice the opponent AI float some aerial through balls and make the midfielders and forwards chase it frantically. These are tricky balls in which you have to deal with the ball trajectory precisely lest you give away an easy run at goal.
Shooting is more difficult in PES6, which is in a way - good. You can no longer blast from anywhere and expect it to beat the keeper. Keeper AI was good in pes5 and is even more improved in pes6; you have to be clever while placing shots instead of just giving it a mighty thwack. There is also a quirky animation unique to pes6, wherein the opponent defense constantly shifts legs when defending a rampaging winger instead of chasing him in a straight line.
Both pes5 and pes6 are guilty of something that in game programming parlance is called 'point of diminishing returns'. When the opponent AI 'senses' that the player has become adept at playing the game, it deliberately executes cheat codes to make its players move faster and dribble better than previously; while at the same time making the player AI more sluggish. This results in many frustrating situations when what seemed an obvious goal look like a chance that never existed.
Also, many have said that level 3 is the hardest difficulty level in both pes5 and pes6 instead of level 5; which beats any explanation.