I'd say Thurso which is a cosy little town with a harbour and nice beach and fine views, whereas Wick is a bit bleak - you can walk round it in a few minutes. When I went there we walked down the hill from the station, then over a bridge and into the towm towards a T -junction in the road. All quite promising until we reached the t-junction and looked to the left and the road went out into open country within a short distance. There were a few shops and a few more closed shops on the road to the right, which led to the (empty) harbour. From there you can walk along until you reach an open air swimming pool carved out of the rocks, and then carry on along the clifftop but there isn't much to see. In an hour we walked as above, went for a pint in the Wetherspoons, and still had time to call into a bank to get some £1 notes.
There are plenty of threads on here comparing the two, in the wider context of travelling the Far North line.