I was lucky enough to purchase tickets for both concerts because just like you, I have been wanting to see both bands perform live for some time now. With the price of gas and other expenses I have right now I have decided to sell my Coldplay tickets because I could use the money. I realize watching a concert on TV isn't the same, but I did see Coldplay in concert on DirecTV, and while I did enjoy it, I wasn't blown away. Plus, I really don't care much for "Viva La Vida" and I am just gonna wait until next time they tour.
As far as Radiohead, I've heard nothing but amazing things from people who have seen them in concert. I watched some video's of Radiohead in concert on youtube and as one person stated already, it seems like a religious experience. Radiohead is on a whole different level than Coldplay, their music is innovated and unique, Thom feels every word he sings. I have to say that I've never been this excited for a concert before...so to answer your question...go see Radiohead.