They're both nice. I ended up getting an '08 335xi coupe, which is a beast in the winter and 300hp twin turbo can't be matched by Audi in its price class. The A4 looks really nice though, and in my opinion looks better than the 3 series sedan. However, I like the 3 series coupe and the 335 has more performance for the money. To get 335 performance you need an S4 or S5, and those are significantly more expensive, plus the newest trim style is only a couple of years old and still expensive.
In the end it's just a matter of how much you like the way Audis look vs BMW, and if you like them both about the same with looks, then a 335 is going to smoke an A4 for a few dollars more and less than an S4 or S5.