Depends on the situation, really. The Predator may have better strategy and tactics, but in a one-on-one fight, I'd put my money on the Alien. Both monsters are extremely well adept at using their surroundings to their advantage, and the Predator could certainly win battle from afar, but once the Aliens have a little bit of time to settle in, I'd say its game over Predators.
That's why I really loved Ripley's quest to stop the Aliens from reaching Earth and falling into the hands of Weyland Yutani, and I loved the whole "they must not reach the surface" theme in AVP. Even when properly contained, the Aliens really are a force to be reckoned with (as demonstrated in Alien Resurrection, Alien vs Predator, and even Prometheus when the Aliens (or, in Prometheus' case, creatures that "share Alien DNA" [literally or otherwise] break loose). AVPR broke that whole motif that had run strong in every Alien related film released before and after it; AVPR had Aliens on the surface (in a modern day town, even), and quite frankly, they sat around and did nothing.