That's a simple enough dilemma to solve.
Which, of the following two scenarios, sounds more appealing to you?
A) being an inexplicably powerful and charismatic douchebag who can survive falling off an exploding freight plane, drive every conceivable vehicle ever made and use some of the most ridiculous forms of weaponry imaginable; all in a bid for power and control of a place that's quite flashy, but ultimately rather hollow.
B) being an inexplicably powerful and potentially charismatic protagonist who's knee-deep in political power struggles and standard High Fantasy tropes, and who has the potential to be everything from a cut-purse wanted throughout the land to a stalwart hero the plebe looks up to with glowing eyes. The whole of it in a place that's certainly breathtaking at the onset, but ultimately rather hollow.
It's all a matter of personal taste and perspective. I'm from the Game of Thrones, Winter-is-Coming-swords-and-shields-FUCK-YEAH camp myself, but that's just how I roll. Having played both games, I can certifiably say both have their merits, but both cater to different tastes.
If I had to bring up specific pros and cons, I'd say Skyrim excels at laying down its lore for you to either observe casually or digest obsessively, whereas SR3 goes "Lore? Fuck lore, man! DILDO TANKS FTW, WOOHOO!"
Not that there's any dildo tanks in the game; but I'm fairly surprised by that. With all the crazy Steelport's got going, you'd assume they'd have something like an armored vehicle shaped like a human phallus.