For me, they're exploring the same things from polar opposite perspectives. Walter White hates himself, he lives the "American dream" nuclear suburban family, he's broke, disrespected and dying, and he seeks a way out into the world of crime and murder, and becomes a sociopath. Tony Soprano is a sociopoath, he also hates himself, he's rich and surrounded by sycophants, he is in that world of crime and murder, and imagines what his life would be like on the outside of the mob (although he doesn't have a realistic way out the way Walter White has a way in).

I hesitate to compare the two in quality because they're both transcendent experiences for me. Though they do explore the same themes to an extent, they're both pretty unique imo.