Basically if you want to play your mod with others online or LAN then use MG if you only want single player then you could also have the choice of GAE.
To better phrase that, GAE has more features and is a lot more powerful, MG has stable multiplayer and a master server.
Newer additions in GAE (Within last version and current WIP):
-You can change the GUI
entirely via a widgets file, far more powerful than the simple image in game that MG allows. Not to mention GAE's GUI was built ground up and includes movable windows, collapsing windows, resizing the map, tooltips, etc.
-Enhancement style upgrades: GAE already had a more powerful upgrade system with multipliers and static modifiers, but now you can apply them differently to different units, and can give point boosts (one time boosts to current HP/EP) as well as change the resources stored and resource costs (eg, make a unit cheaper).
-Transport units can load and unload units, which you can specify, and units can attack out of transports.
-Cloaking (aka: stealth) is available, and you can decide how it works, either a permanent cloak that comes off when using certain skills (eg, attacking), a temporary cloak you use energy to maintain, or even an emanation cloak. You can also create detector units that can find cloaked units.
-You can display faction logos in game, with both a team color and RGBA image.
-You can have water units, with additional fields for amphibious, any water, and deep water.
-You can have multiple shuffling music tracks
-Models can have normal shaders, which can add depth to them and allows detail without a high frame-rate impact.
-Units can teleport, with the possible restriction of only teleporting within their sights.
-It's possible to multiproduce more than one unit at a time.
-A cast spell command exists to apply effects to friendly units (eg, a buffing spell).
-Generate command can produce resources like energy without having to create a new unit.
-Every string in a techtree can be translated from resources to attack names to unit names to level names.
-Tool tips can be given for any command, and are also translatable.
Full documentation for GAE's upgrades can be found on the Wiki:
https://docs.megaglest.org/GAE/FeaturesMG has most of its documentation in the regular XML pages, but some of the still-unreleased features such as multiple projectiles are not yet documented:
https://docs.megaglest.org/XMLs