Unit cost and quality.

I always doubted which of these two creatures to choose, but now I understand that Nightmares are better because of their ability to cast "Terror." It's a very useful ability. You can get a lot of benefit from it. And it's not necessary to have a lot of Nightmares; in any case, it skips the turn for two turns (unlike in Heroes of Might and Magic V).
So, my choice is Nightmares.