I find Gamemaker easier to use but in power they are pretty much the same. Neither of them do much for you
Except:
GM5 and 6 can make 3d games. Search for Gadget 3d for GM5 3d (unregistered). But I think theres a way of doing it with SDKG using tile layers.
VB Script is considerably more powerful than GML.
Game maker does next to nothing for you. Whereas in SDKG you can choose 360 direction, 8 way, 4 way, side scrolling, GM leaves EVERYTHING to you. A help and a hinderance.
GMs spriting is easier. Sorry but it is.
SDKGs example games are more useful and more fun.
Its easier to get examples for GM because its more well known. Just.
These forums are nicer than the official GM forums, look at all the SNOBS!
I use GM more (I'm developing my first game with it)
but I really want to learn SDKG. I need to combine their power for a future project. It annoys me when one person says one is better than another.
Oh and GM is older, 1999, by 1 year.