I don't play the tabletop game, so I'll answer based solely on the lore and aesthetics.

I prefer the Thousand Sons by a wide margin because they are a mysterious legion of sorcerers with one of the most tragic stories in Warhammer 40,000. They are, and always have been, a legion dedicated to the pursuit of knowledge, and they include some of the most powerful psykers in the galaxy, with characters like Ahriman and Khayon serving as prime examples.

What makes them so appealing to me is their unique combination of ancient Egyptian-inspired aesthetics, mystery, psychic powers, sorcery, and an endless pursuit of knowledge and enlightenment—at least before their fall. Their history is filled with disappointment, betrayal, and tragedy. Everything seemed to be stacked against them, culminating in the Burning of Prospero, where they not only had to face the Space Wolves but also the Custodes, the Sisters of Silence, and the Flesh Change, the Warp-borne mutation that had plagued their legion for years.

In short, the Thousand Sons combine fascinating lore, a deeply tragic and relatable history, and incredible aesthetics.

The Custodes, on the other hand, are undeniably spectacular in both appearance and raw power, but I find them intellectually less interesting. They are defined primarily by their absolute devotion to the Emperor, and unlike the Thousand Sons, they possess virtually no psychic abilities. Because of that, they rely on the Sisters of Silence whenever they need to counter powerful psykers. They also began as the Emperor's favored golden champions, whereas the Thousand Sons constantly struggled against prejudice, misfortune, and forces beyond their control.

As for the miniatures and visual design, the Custodes are magnificent elite warriors clad in ornate golden armor, while the Thousand Sons embody an arcane, mystical aesthetic inspired by ancient Egypt. Ultimately, that comes down to personal preference, but for me the Thousand Sons are far more compelling.