Call of Duty 4 was slightly better IMO. The story was more tightly packed and the whole modern conflict idea just worked well.
I do have to give Treyarch props for doing such a great job with World at War however. The story was great, graphics were superb and they finally added Co-Op. My personal favorites was the gore and the fire effects in World at War.
@Alvino
Yes the co-op addition was amazing! O the gore...i almost forgot all about that lol. i remember the first time i played it...i threw a nade and the dude exploded in half LOL....was like SHITT thats insane haha