It depends on what mp3 encoder you use and what bitrate you are targetting. If you want low bitrates, below 100kbps, then wma is better.
With bitrates above 100kbps it depends on the mp3 encoder. If you use the best LAME encoder then mp3 is generally better than wma at the higher bitrates according to the tests at Hydrogen Audio: http://www.hydrogenaudio.org If you use an old mp3 encoder, then wma also beats mp3 at the higher bitrates.
Now, this presumes you are using wma standard, which is what is generally used. WMA Pro, which is rarely used, beats mp3 hands down.
You might also want to consider Ogg Vorbis and AAC, both of which outperform mp3 and wma standard.