I'm a pretty hard-core sim racer on PC, so interpret my answer within that framework. Both are totally arcade, but PGR3 to me is a better racing and car control experience. Also better graphics. And an actual in-car dash view with good perspective in widescreen (W00T!) The environments are pretty good too.
NFSMW is (IMHO) complete arcade garbagey port targeted at young kids who dream of ricing out Civics and street racing. It has a story line where you work your way up through "the blacklist" to gain rep, etc. It actually held my attention for about an hour, mainly because there was a hot chick in it, then I put it away and haven't been tempted to go back even once. Driving physics and realism are worse than a joke.
So between the two... PGR3. But I anxiously await Forza 2, GP3, the next CMR, etc. Oh yeah and a good FF wheel. I wonder if my DFP would work? I should try it...