If you've never played before, then almost certainly you will prefer the CD version. The only ones the "prefer" the diskette version do so for nostaglic reasons, not for sound reasons.

I was playing one recently, and went ahead and fired up the diskette version after playing the CD version and i was immediately flooded with pleasant memories (I played these when they first came out on diskette version, still have the diskettes in fact) and that was nice and all but the sound was still more pleasant on the CD version.

I guess I'll say that I prefer the Diskette, not 100% because I had it as a child, but also because I don't particularly like the voice acting in the CD version and feel like the mood is a little different. The FM MIDI of the diskette has an off-kilter quirky quality and the CD is a bit more serious; which didn't match the visual as well. (That's my own thoughts.) That is only true of Gobliins 2, though; the rest of the series, the CD version seems better.