Have a level 50 Shadow and a level 47 Sentinel.
Game Play (leveling): To close to call. I soloed Heroic 2+ on my shadow with easy using stealth and CC's. However, I solo Heroics 2+ on my Sentinel by killing everything real fast. I have done Knight last because as I leveled my smuggler, shadow and trooper I would constantly help guildmates and strangers spamming in general chat for help on a knight boss. I was scared to death to play a knight considering how much trouble I had leveling a sawbones solo in my first MMO. My knight has killed every boss up to Voss at level 47 solo and I can count on one had how many times she has died outside of trying to solo heroic 4+ or doing them with 2 people. Outside of my agent (which benefited from me already knowing the class from leveling a smuggler first) the knight has been the easiest class for me. Shadow was great and I could easily stay on level with her, knight is way too easy to get overleveled since you cannot just stealth out of an area. So to me both are fun for different reasons.
I am one of the stubborn people still playing a infiltration shadow. She has done everything up to including HMEC, but other than TfB, I have been low to mid dps for our group. TfB on the other hand is pretty much designed for shadow infiltration burst dps. However, I am about to respec to balance or tank since you can't run TfB every night. After 50, groups will much prefer a sentinel over a shadow for dps. Even if the shadow IMO is far superior survivability. At least my shadow lives longer than the sentinels I run with, but I do know what a defensive cooldown is and I am not afraid to use them.
Companions: Neither are that memoriable. Love the Smuggler and Agent companions so much more than either of these groups. May give a slight edge to the Seninel over the Shadow.
Gear: Consulars have the worse looking gear in game...end of story
So it will depend on your taste which on is better, if you want a endgame dps for operations, go sentinel. If you just want to casual level and be able to see everything solo, go shadow. I love both, my shadow is all about fun. Sentinel is about killing big stuff real fast. Persoally I couldn't choice, which is why I plan on playing these two and my sawbones and selfing my trooper.