Killing Floor is a fun little time-waster, but feels far more unpolished than L4D. Joining in later in a game/respawning is a headache inducing nightmare as you scramble to come up with the cash to buy decent weapons and armor. Other players help, but this can be a serious problem when you're facing 400+ creatures armed with a 9mm.
KF does have much better zombie slaughtering music, while L4D has much better atmospheric tunes. Mowing down waves of grunt zombies is personally more pleasurable with hard rock; creepy chorus music and unseen crying make me start jumping at shadows.
KF feels like a mod of Counterstrike; L4D is, in many ways, a mod of HL2. I liked HL2 better, but that's personal opinion- CS was a great game anyway.
Overall, I like L4D because the game seems to have much more depth and variety than Killing Floor. Still, they're both fun games that I'm glad I own.