In the movies so far I think Pyro way cooler than Iceman. In the movies Iceman seems to be way too much of a wuss, with his "I want to be closer to Rouge" thing and his "I want my parents to understand me" thing and he's too responsible and cyclops like.
In the comic versions of the two I think Iceman is the cooler guy, since he's more of a joker and prankster always getting into trouble with the Prof. He also uses his powers more and in cooler ways than what Iceman did in the movies.