Depends entirely on what zombie-related mayhem you want.
Do you prefer to play through a crafted storyline, mostly attempting to travel through a post-apocalyptic world, ever looking for salvation, trying to survive the onslaught as you go, or instead prefer less story and more about holing yourself up somewhere and surviving wave after wave of zombies and freaks trying to turn you into a gourmet meal?
They're both perfectly good games, and while there is the temptation to lump them together as "zombie shooting", they're actually quite distinct.
L4D is a longer more cinematic experience. It's like playing through a normal campaign (single player or co-op, though the game definitely kicks into high gear in co-op). L4D is like playing through one of the best zombie movies you could ask for. It requires sitting down for an hour or two, preferably with 3 friends and voice chat (in-game preferably since it uses some neat special effects on that too). Playing through the Heavy Rain campaign with a couple of Escapist friends alone made the game worth the purchase, and if you try it you'll understand why.
KF, on the other hand, is more about a group of people holed up somewhere, in an industrial complex, or an abandoned house, or farm, or whatever, and just trying to survive the onslaught of freaks coming to kill them. Sure, L4D has a survival mode too, but to me KF's is much more developed in that aspect. You can buy weapons after every wave, you have to manage your "profession" (i.e.: class), the zombie types are more varied and "grow" with each wave. You start out fighting mostly cloths only (typical movie zombie - Slow, stupid, and only dangerous due to their numbers), and after a few waves the game is sending in fleshpounds (giants with meat grinders for hands - yes you read that right - that can become "enraged" and basically plow through a whole team like wet paper if not dealt with appropriately), culminating with one encounter against the one and only Patriarch (enough said [http://games223.com/pictures/patriarch_pr_character_shee.jpg], yes that is a minigun/rocket launcher arm, which he WILL use. A lot.). A round of KF requires less time "in one sitting" from a player, while allowing for long stretches too.
Even in tone and personality the games are completely different. While in L4D the characters are hanging on to every shred of hope for dear live, constantly looking for salvation, in the world of KF, it's not even "all hope is lost". All hope was gladly forsaken. You generally play as a bunch of deranged psychopaths to whom the end of the world was the best thing ever. They are now allowed to wage war freely, and I'd argue that, despite being human, they're equally big monsters to the creatures they're fighting.
Pound for pound, I'd say L4D offers more content over all. KF is good, but only really does survival. L4D offers a lot more modes. That said, it really depends. Do you prefer a more "co-op campaign" vibe, or "typical shooter - join room, survive and kill things" co-op style? Do you prefer to sit down and play through a 1/2 hour campaign, or just go for a few rounds quickly whenever?