I would say they're pretty different games. In my opinion COD4 is the definitive FPS experience on 360, and Halo 3 while awesome felt a little bit too much like more of the same, even when it first came out. Strangely, now that most games (including Killzone 2) imitate COD4, Halo 3 actually feels a little bit more unique than it did over a year ago -- it stands out from the pack.
Halo's main strength is its huge number of multiplayer options including all kinds of splitscreen and co-op, along with gameplay that feels very well-rounded and easy to get into. (And vehicles which are also easy to get into!)
Killzone's main strength is its overall presentation. I've honestly never played a game that makes a battlefield feel so hectic, like everything is blowing up around you at once, but in many different ways. This is partly because of the number of players and the way the maps are built, and partly because the animations and special effects really outdo anything else that's been done in an FPS before. That said, Killzone is a trickier game to learn -- you have to put some time in unlocking the different classes, and then you have to learn how to actually use classes which function really differently from each other, and most importantly, how to counter the different classes when you're fighting against them. The process of learning this stuff is probably a little more frustrating than being a noob in COD4 or Halo 3.