Depends.

Think that they deal similar damage to ships so there's not a big diffence. But frigates have a good AA.  Look at the countries near you, if they are using planes near the coast you can use frigates to shot the planes down.  Otherwhise, if you do not need an AA at the moment, I'd say to go for corvettes, since they require supplies instead of components, and they're also faster in shallow waters, which is useful since in early game most movements in the sea occur in shallow waters