Basically, I can't be one without being the other at the same time, no?
If I remember correctly...
Heartless are brainless minions. Nobodies are brainless minions, too, right? With some exception of super awesome people becoming nobodies which are basically the same person but being heartless... gah, what was that? It's too long ago.
But, who cares. Black coats are awesome, so I'd choose to be a nobody.
As far as I see, Nobody are much more organized then Heartless and outta all my fighting in KH the Nobody been the most pain, Plus they have those Sexy Black Coats.