Grilled chicken is the healthier option between the two. Of course depending on what you would use to bake it. Grilling it, whether you're cooking it on a bar b que, on the stove in a skillet, or even in the oven has less fat. Also sauces used to flavor it, if you want to flavor it, matter as well. Grilling boneless and skinless chicken breasts is the best for you if you want healthier chicken. The other types of chicken have more fat and therefor calories because of the skin on the chicken.