I live here and usually stay at one or the other for a winter getaway.
Depends on who you are taking and when you are going.
With Kids, Depot no question.
Pool is a blast, In winter they have an indoor skating room open.
As far as location:
Depot is a short walk to Mill City Museum, Guthrie Theater, Ball Park and Spaghetti Factory among others.
City Center is part of Skyway, but where is there to go?
Block E most of the stores are gone (crime is pretty bad around there also).
That said when it is just the Wife and Me we usually do City Center.
Partly so she can have quick access to the stores for the Christmas sales and also for the parade.
Last time I was there they also had a chocolate fountain with food to dip set up for guests.