Where's the other option? I don't like ANY of them. If I had to choose, it'd be DBZ.
Naruto is alright, but the way I see it, it's just a lot of talking. Trust me, I saw the Rock Lee vs. Gaara fight. I wish 2/3 of the fight wasn't talking. That, and I don't see a lot of storyline to it, just some random ninja wanting to be Hokage. I've probably seen only 7 episodes, but still.
Sonic X is Ok if you just wanted a Sonic show without any care of the storyline. That's how I was at first, and looking back, Sonic X sucked! It was Ok at first since it was a bit original, but then they made 2 seasons related to SA and SA2. They made an original series again, but it's just.... no, I'm not going to go there.
DBZ wasn't my favorite anime, but it's better than these two in my opinion. Enough fighting, and a somewhat decent storyline. Although I haven't seen DBZ since who-knows-how-long, but I remember the storyline was Ok. Just Ok.
I didn't vote Sonic for his anime, I voted Sonic since he's my favorite video game mascot.