In-game, Leech Life is better. It's another means of attack, and playthroughs are all about hyper offense. Thunder Wave is little more than an annoyance, as it wastes turns when you could be beating up opponents. Leech Life also heals HP, which is nice.
However, Thunder Wave is far superior in competitive due to Prankster, which can be used to cripple foes quickly and effectively.
Hope I helped!