I prefer Victorinox but only cause thats seems to be the kind I always get as gifts. I went and looked at about a dozen of the little keychain ones I have and sure enough none are Wenger.
I personally prefer Victorinox. I have a couple of Wengers, and they are good knives, but the fit, finish, out-of-box sharpness, smoothness of pivot action, etc., seems superior with Victorinox.

Another interesting thing is that the standard-sized Wengers are a bit smaller than the standard-sized Victorinoxes.

Both brands are excellent, but I know from experience you can't go wrong with Victorinox.
Also, I carried a Victorinox Spartan for 10 years as my only knife through living in Taiwan and back here again...the humid, corrosion environment there, plus the fact I did not always give the knife proper cleaning and maintenance. The knife never let me down, and after I came back did I bother to clean it, and when I did, the action (walk and talk of the blades) was crisp and precise again. It's beat up but still a serviceable knife.