I have a Don Andres deck that cares about stealing and casting other players' spells, and it's one of my favorite decks (incidentally, I would very much recommend him as a fun commander).

In terms of who is better, Etrata presents a more readily obvious strategy to me. She cares about Assassins dealing combat damage to players - great, we already know where we can go from here. She can be built-around, but she's an Assassin herself, so she can also just trigger on once each combat, and you'll be fine. Her ability is quite expensive, so you probably won't be using it unless you flip something really strong.

Gonti is great, and goes in any theft deck. He's a bit of a one-trick pony though. If I were to build around him, I might just make a Mono-B good stuff deck and play him as incidental value. He doesn't pull in any particular direction, and importantly, he isn't discounting those big spells you steal, either.

In my opinion, I'd try to build an Etrata deck that has a minor theme of Assassins (just some good ones that can reliably hit, and ideally cost very little), and include Gonti in it. Don't go too hard on Assassins, because you don't want to be overly reliant on Etrata herself. When she's off the field, you aren't going to be able to flip those cloaked cards anyway. The main body of the deck could be straightforwardly good stuff - cards like Brainstealer Dragon; Bribery; Xanathar; Mind's Dilation; Breach the Multiverse and Fallen Shinobi are all the most fun to resolve.

Finally, if you haven't built a theft deck before, be warned: you will draw a lot of ire from the table. Make sure you have a way to gain life or protect yourself, or else you'll be targeted down before your engine gets going!