I have previously owned both a 9mm and 40 cal PX4. Also, I have prev owned many different HK models. Out of all the seven HKs I've prev owned, the P2000 was hands down my favorite model. I sometimes wish I still had it.
They bother are great guns. PX4 is cheaper and bigger. The P2000 has only 13 round mags.
If money is an issue - the PX4 is a great gun. Neither is really "better." - see if there is one of the two that you prefer. I've owned both, and only sold either to help pay for some other gun I really wanted.