I've only been to each place once for a month or so each, so my experience is limited, but I'll chime in anyway.
Costa Rica was a lot of fun. Pretty intense paddling scene in Turrialba, quite a few paddlers there from all over. Easy shuttles, good beta, lots of resource. The rivers were fun and varied, and pretty centralized. The surf was also very close and very good. Food was good, beer was cheap. All around, a very easy place to travel, and set up very well for paddlers.
Mexico was also a lot of fun. Not near as much a paddling scene, but a bit of one. Shuttles were a little bit tougher to set up, and beta was a little more scattered. The rivers are more spread out. Food is killer, beer is cheap. For our group, Mexico was more adventure than Costa Rica, and therefore, a little bit more fun for me. I can't speak for my group though.
Basically, they both make a great break for North American winters, and you should plan on checking out both.