Depends, do you want something that can take down Pokemon before you can say OP? (Lucario) or do you want a Pokemon that can be fairly useful in catching other Pokemon? (Cobalion) though ultimately it boils down to a bunch of questions: do you want to defeat the champion or complete the pokedex? Do you play competitively or causally? Do you want a bulky or a offensive Pokemon? There are also plenty of other variables to be considered, such as each Pokemons nature, Iv's, ev spread, the rest of your team and wether or not you already have, or are planning on getting a different mega Pokemon. Ultimately there are to many unanswered questions for me to give you a proper answer, but if you want my personal opinion, and my preference, I would pick lucario any day. Also, mega lucario's an uber tier Pokemon, and last time I checked, ( and I may be a bit off on this) cobalion's stuck in the UU tier, so that's something to consider.