It's a tough question, that would honestly leave me on the fence, even though I've always been a Ultima fan.
They are two different experiences: the Underworlds are dungeon crawlers, with awesome immersion and atmosphere factors, good dialogues, but of course they lack the feel of a real "world" (the second Underworld episode take place in different "worlds" yes, but because of the approach taken by the spin-offs and the technology limitations of that period, they of course feel "boxed", in a way).
Baldur's Gate embrace a wider plot, scale and objective: it was the spiritual successor of the beloved SSI Gold Box series.
So, if I had no prior knowledge of both games, maybe I would head toward Baldur's Gate, because I assume, by reading something about it , that it would offer me a more "complete" experience than the Underworlds.
Still, this isn't a judgement about what's the better game, because personally I think Underworld 2 is vastly superior, for example.