I actually want to see both of them actually, but if I had to choose only one (which I don't have to in real life :) ) I'd choose Saw

Only for the fact it's R rated (I think), and should hopefully be a little gorier. I also have seen and read very little about this movie so I should enjoy it more with less preconcieved notions about it.

The Grudge's PG-13 rating has me a little concerned, although the trailers for it look good, with a few good scary bits.