It would probably depend on the industry. The prices should vary between the two. Google used to be the most expensive, but I don't know how it's been since Yahoo took over Overture. Conversion rates would probably also depend on the industry as well. Your best bet is to try both moderately and do lots of testing. Watch what is working and what isn't. If you have the resources you would get best results by using both together.
Yahoo was most expensive since it had minimum bid requirement much higher than adwords. Comparing yahoo, google and msn, google was cheapest.