I don't know what to say... I played only a few hours of Killzone 2 (something like 2 or 3 hours). I can't say which game is the best but this is my opinion:
Killzone 2-> much better graphics and storyline (why in hell does people say the storyline isn't good? You will say this thing if you skip the damn cinematic your bastard! Don't skip the cinematic or I will kill you. Skip cinematics is a crime on any game! Maybe the storytelling isn't that great but the storyline IS great)
MW2-> much better gameplay and multiplayer modes.
I can't talk about the campaign because I finished MW2 but I didn't finished Killzone 2.
2 points for Killzone 2 and 2 points for MW2 if anyone wants to talk about the campaing and give the third point for one of the games, feel free to do so.