They're both great, but I like SMB3 a bit better because it offers more of a challenge for me and I like a lot of the hidden secrets and overall gimmicks they put in there. The levels can be short sometimes, but they all have pretty unique themes, and when overall themes are reused, there's always something new they throw in there, like the maze in 6-5 and the hologram platforms in 7-6.
I posted my thoughts on SMW a while ago on Super Mario World Central (go figure), so I guess I'll just copy and paste...
Super Mario World isn't a bad game, but as I've said before, it's my least favorite of the "Main Series" Mario games. The design just isn't all that great if you ask me, and I didn't like a few of the changes they made like Koopas sliding out of shells, the Reserve Item, and fireballed enemies turning into coins. I abhor time limits as well, but I won't complain about that since SMB, Lost Levels, and SMB3 also used those. Not to mention the game-breaking Cape Feather. And I really don't like Yoshi.
There are a lot of things SMW did well, though, like the mazes and puzzles in Ghost Houses (not the best, but they were good for a start), secret exits and the complexity of the overworld, hidden areas like the Star World, and so on. It's good enough for some quick entertainment with Super Mario Advance 2 on my DS.
You know, I noticed something a while ago. I was repeatedly testing some custom music I was composing on a clean SMW ROM on Yoshi's Island 1, so I was playing around in that level a lot. And I noticed something: Doesn't it seem like, with Yoshi's Island 1, Nintendo was trying to shove every new SNES innovation in your face before getting to the stuff from previous Mario games? At the beginning, we see a slope, yeah, those were in SMB3. But enemies sliding down slopes? Then a humongous Banzai Bill, bigger than any sprite the NES could produce. And then a flying ? Block. Never seen that before! Finally, a diagonal pipe before we've seen any regular ones and some dinosaur enemies that take two hits to kill. Oh, and a jumping Piranha Plant. And then we see some normal pipes...but they're multicolored.