Last month I bought a 40oz Klean Kanteen bottle and a 33oz Sigg bottle. In the end I prefer the Klean Kanteen.
Both bottles are very light and look good. The Sigg is lighter, but not so much to really matter. Sigg wins easily in the looks department with different artwork to choose from and the bottle I have has a nice textured powder coat finish compared to the KK basic look and smooth surface.
Sigg uses an epoxy to protect your water from the aluminum and tells you not to use the bottle for long term storage. Could be a bit worrisome not knowing what's in the epoxy and the possibility of aluminum contamination. I have not noticed a metallic taste from either bottle drinking straight unfiltered tap water. I prefer the stainless steel of the KK just because it's probably on the safer side.
The bottles are both lightweight and made of thin metal. I haven't dented either but I have been very careful with them. Both feel like they would dent quite easily. I have not scratched either bottle and the paint on both looks like new after daily use from work to the gym.
The KK bottle has the cap threading formed into the neck of the bottle while the Sigg uses a metal ring insert in the top of the bottle to thread the cap onto. Some people have complained that the Sigg's threaded insert is sharp, but I have not had this problem. The KK is more comfortable to drink from though. Also the wide mouth of the bottle makes it easy to put ice cubes in, which you can't do with the Sigg unless you have very small ice cubes.
I have the loop cap on both bottles. The Sigg I really have to twist the cap on tight so it doesn't leak. The KK cap seals quite easily and has never leaked. The KK also uses a thicker thread size and is easier to screw the cap onto because of this.
Some people are complaining about sweating. On a hot day with the bottles filled with ice cubes both will sweat, but plastic bottles will also.
If I was going to spend that much money on a water bottle again, I would go with Klean Kanteen without a second thought. The only advantage of the Siggs is the exterior design.
Update Dec 09: Over a year of use now and I have stopped using the Sigg due to their older bottles do in fact have BPA. Something they said it didn't have, so I won't buy another bottle from them again since it appears they were lying before. They will replace the older bottles, but you have to pay shipping.
I have 2 Klean Kanteens and both have held up well. Some minor scratches and dents, but still look quite good.