[Statesideowl]

Depends on your aesthetic. I personally think Thurso is nicer but there isn't a great deal between the two. They both have distilleries Thurso has Wolfburn and Wick has Old Pulteney.
Wick has bit more sightseeing I think. You can drive directly north from Wick and go to John O'groats and there's another distillery there, just a small, new one.
There's boat tours offering little trips out to see the Whales, if the weather permits.

I've spent more time in Thurso as.its closer to me than Wick. They both have shopping and other facilities. The food is hit and miss but as they're both small fishing ports there's plenty of fresh sea food!
Whisky and seafood is a staple up here
If you're going further up on the mainland of Orkney there's a nice place called 'Twatt'