Overall if you count by stats, Lucario is better than Gallade. Gallade only has good physical attack, while Lucario has both. However, Gallade has good sp. defense, if you're fighting against something like Alakazam it would be a pretty good choice in theory. Gallade, if you are counting in gen VI, has the same amount of weaknesses as Lucario and Lucario has more resistances. The problem with Gallade is he has so many Tm moves that have good coverage, but are special. Lucario may have less of that coverage, but it has the stats to support the ones it can know..... and it learns Aura Sphere, which is partly why it is my favorite Pokemon. As you can probably see, in many cases Lucario is the better Pokemon to choose, but Gallade isn't a bad choice either. They both look pretty awesome too.
Tip: if you are using black/white 2, you can get a move tutor in Driftveil City to teach Lucario Ice Punch, which is a very useful move, in my experience.