Halo 3 is the culmination to a story that begin in 2001. The Halo canon covers multiple genres of games, books and now animated shorts.
Killzone 2 is the re-invention of an IP with fantastic visuals and an attempt at a slightly different control scheme.
I enjoyed Halo more because I have invested numerous hours in the Halo universe. I also wasn't a huge fan of the controls in Killzone 2 and found the cover system to be, less than perfect.
SO, IMO...Halo 3.