Sorry to go the opposite way as everybody else, but I'd go with the Oriental. The Pen is nice and does have great views, but I find it a little bland, personally. I admit I haven't stayed there: I was at the Oriental and went across the river to take a look at it since I was (very strongly) considering staying there on my return trip. They were really nice and showed us several rooms and around the hotel. It's a beautiful place, but felt to me like it could be almost anywhere. The rooms are beautiful. I'm sure the service is great, and it is very possible that the food at the Pen is better than at the Oriental, but I just didn't feel it was in Thailand. To me, Bangkok is the Oriental and sitting outside for breakfast (looking out over the Pen which I must add is MUCH more pleasing to look at than the Oriental! ). The Lobby of the Oriental is amazing and so Thai.

You can't really go wrong either way, but IMO, the Oriental is much more Thai! I can't imagine staying anywhere else.