Between Avenue Q and Wicked, I'd pick Avenue Q but it really depends on what you're interested in, in a theatre experience.
I like to laugh, and so Avenue Q, a little musical with heart, would be my choice. But, other people like a certain "bigness" in a Broadway musical. For them, there's Wicked. Also for people who like power belting. And stars with recognizable names (George Hearn, Joey McIntyre, etc.). And an interesting plot. So you see, I'm saying Wicked has much to recommend it, for people who care about such things. Me, I'd take those "unknown" puppet-masters over the denizens of Oz anyday.