Depends on your style of playing
If you like to raise up various pokémon for different purposes, you should definitely EV-train Defense or Sp. Defense. You could use your pokémon to battle exceptionaly physical or special attackers, in that case you don't need to train another defense stat. This method gives you a small advantage with opponents that use draining moves: their recover depends on how many damage thay've made to you. HP points are counted, but not percents. That's why you better have EVs spent on single usable defense stat than waste it on HP and feed your opponent's Meganium or something with fresh drained health points.
If you prefer using only one beloved Pokemon throughout the game, as I do, of course the best choice for you is HP EV-training. But even in that case you can also train defenses especially when your pokémons base Defense and/or Sp. Defense are twice smaller than HP. For example Chansey. Even if you train already high spesial defense up to 126 EV, it's more usable against special damage than 252 HP EV. Training defense stats is also nessesary if one of those stats is significantly smaller compare to another, for example Alakazam with nearly twice much Sp. Defense so as Chansey or Deoxys.