You know, for two places that are so close together, the topside environment couldn't be more different. The diving is really pretty similar, with perhaps a slight nod to Anilao for macro opportunities, but really they are a lot alike. You have a diverse range of diving options in both places, and a generalized lack of big fish, but that is true of most of the Philippines. Topside, things change pretty drastically. Anilao is all isolated all inclusive resorts, and moving around from your home base is pretty difficult. The entire area is on the side of a mountain, and lots of stairs predominate almost everywhere. There is no beach to speak of, unless the resort has tried to create one (pretty rare, although Eagle Point did a credible job in making a nearby island a beach retreat for their guests...see my report on them for details). The pricing structure at Anilao is biased towards a group rather than for singles or pairs, but that has been discussed to death here already. Over at Sabang/PG, pretty much anything goes. You have a plethora of dive resorts and dive operators laid out all along the shoreline (although again there is no beach unless you go waaay out on the west end to someplace like Coco Beach) and a dizzying variety of restaurants of all types and prices. You can go all inclusive at your resort, but there is so much else to choose from all around you. You can partake of the nightlife if such is your inclination, but the farther west you go along the shoreline, the less partying and such you will find. Pretty much everything west of El Galleon is dead quiet at night, but really, you almost have to get all the way east into Sabang proper before you really run into the noise and such. I have an extensive report on this place also.
To me, the big advantage of these two places is world class diving with about the easiest access you will find in the Philippines. You fly into Manila, and then it is relatively short ground (and sea, for PG) transport and you are there! I know of few other places in the Philippines which are as easy to reach. As to which first? Boy, that is a tossup. As I said, they are very different, and you may want to get the action of Sabang out of your system first, and finish up with the isolation of Anilao. Or, you may get fed up with the remoteness and seclusion of Anilao, and want the liveliness of Sabang afterwards. It is all up to you, and again, the diving is pretty similar. You won't go wrong with the diving either place, and Sabang has the added attraction of Verde Island trips for those experienced with currents and such. (Man, it's just gorgeous out there, and crawling with fish, but hang onto your hat, cause it can get wild over there.) Again, it's your choice, and you will do well either way, IMHO. Good luck, Woody