I've stayed at both. The suites are much much nicer at the Pen but I am one of the few who didn't experience the legendary Pen service despite booking through lhw. In fact I was disappointed with their service. On both my stays at the Banyan Tree I found the service very warm and it's my favourite if I'm just there to shop. If you're staying at the Banyan you must opt for the Club rooms though it can get a bit crowded in the lounge sometimes. If it's your first trip to BKK then you have to stay by the river for the ambience.