I have stayed at each twice. Cobalt Coast is to the north of 7mi beach, in a quiet area a short drive to restaurants and stuff especially places towards the north end. Sunset House is more centrally located just south of Georgetown, so close to stuff there though you have to pass through Georgetown to get to stuff along SMB, generally busier area. I would recomend a car either place but especially at CC.
I won't go back to Sunset House anymore. I think the rooms and place in general are dumpy and the regular boats are mostly junk, slow and uncomfortable (except for the Manta which is great - also expensive - but only goes some days for 3-tank east end trips.) The shore diving is convienient and decent but you can do better. A good thing is that you get on the boats at the hotel, except for East end or Stingray City trips. The regular boats dive the West Wall most of the time which is beat up and crowded. Sometimes they dive the South which I think is much better and has some interesting sites.
Cobalt Coast is a very nice place with great owners. I'd consider it a much better "anniversary" place. The shore diving at the hotel is good though more of a swim than at SH. You could shore dive the North wall if you're ambitious - we've only done it from there by scooter. The dive op (Divetech) has another shop nearby at Turtle Cove which has great shore diving with a very short swim. DiveTech's boats are better and I prefer DiveTech over Sunset Divers attitude-wise, although admittedly I haven't dove with Sunset in quite awhile so I don't know what they're like lately. Divetech boats dive the North Wall (much nicer) as much as possible, unless weather interferes then they'll dive West. A drawback is you do not board the boats at the hotel or at Turtle cove, they drive you to the boat (departure location varies depending where they are diving.)
I would expect Sunset House to be cheaper because it's not physically as nice, I think it used to be. But anytime I've looked in the last few years comparable dive packages at Cobalt Coast actually cost the same or less.
