I have both.
Heated grips are easy and quick to use, without any real planning in advance. They work, although on a 0-10 scale I would give them a 4 for warmth.
Heated gloves are a bit more work, and require planning. (You have to put them on before you ride, and connect them to some sort of power.) They do a lot better job (the wind hits the outside of your hand, not the inside) at keeping a more steady, comfortable temp, and on the 0-10 scale I would give them an 8 for warmth.
A "10" isn't anything that I'd post publicly, but it involves a fireplace, bearskin rug, and my wife...
-UD