Like most things in life, and nursing in general, there are pros and cons to both sides.
ER is a "see 'em, treat 'em, street 'em" mentality. You don't need to, nor should you, be concerned about their life story or their mom's aunt's cousin's heart disease history in 1935. You deal with the chief complaint, however ridiculous it might be (sore thumb, anyone?), and act on that basis. Whether that means you send them home, or to the floor, or you intubate them emergently and fly them up to ICU at breakneck speed. Either way, the focus is stablizing them enough to move them to the next stop on their journey. And it's feast-or-famine, all the time: one minute you may be rolling your eyes about sore-thumb-guy, and the next you're doing CPR in the hallway on a GSW victim, trying not to get hosed with blood and snot. The adrenaline rush is often unparalleled. But that adrenaline has a downside: you never know what's coming through those doors, and it NEVER FREAKING STOPS. There never comes a point where you can say, "Well, we don't have any beds! We don't have any nurses! I haven't peed in 10 hours! I'm going to stab sore-thumb guy if I have to talk to him again!" You don't work the job; it works you. Few people understand the constant, never-ending pressure on you from all sides: family, doctors, nurses on the floor or ICU, administration constantly unhappy with your "customer service." It never stops.
But ICU is a different beast all-together. I have more control over my environment in ICU. For starters, I'm limited in the patients I can care for on any given shift. 2 is standard, 3 is the absolute max (and that's only if they're not high-acuity). I have to admit is a wonderful thing to know that no matter how crazy the shift gets, I only have 2 patients. And, let's be honest, it's pretty nice having vented patients. They're not on the call bell a gazillion times a night, they're not whining about stupid stuff like not liking the view from their window (although I have had family members who feel the need to complain about this), etc. My patients are genuinely very, very ill, so the compassion is usually pretty high on my end. I can more easily forgive their and their family's stress and anxiety because, let's be frank, Mom isn't here because she stubbed her toe. Mom has multi-organ failure and will probably die, and my heart cannot be hardened to that fact. I also like having an entire team of M.D.'s (usually) on the case so that I have multiple resources. If doc A is being a royal you-know-what and won't give me what I need, it's not unusual for me to be able to call doc B and get the order. And when we work multiple days in a row we usually always have the same patients. That allows my shifts to go smoother because after having the same patient and their family for 3 or 4 days, I know them pretty darn well and can anticipate their needs. As with ER, there are multiple negatives, the primary one being the aforementioned families. When an ICU patient stays on our unit for a very long time (this year we've had more than 1 who stayed at least 6 months) we are stuck with their family, for better or worse. And sometimes worse doesn't even begin to describe it. ICU is a minefield of family politics and insanity, and these people are very litigious. It's a constant game of CYA and crossing-of-fingers. And the nature of ICU nursing demands that we manage every single issue that comes up, from the tips of their ears to the bottoms of their feet. It feels like catch-up much of the time because our patients almost always have multiple co-morbities and will often develop severe complications (which we always get blamed for because we're "not managing appropriately"). I don't care how often that Hill Rom bed is turning completely immobile Granny and how often we're physically repositioning and applying heel offloaders, at some point Granny is going to have skin breakdown. Period. But tell that to CMS/Medicare, wound care rounders, and our unit managers. Ditto to VAP, etc. It's a merry-go-round of blame and accusation most days, it seems.
Overall, I don't think one is better than the other. I think they're simply very, very different, with vastly different focus. I think it comes down to your individual personality and preferences. The physical aspects also come into play, for me at least. I cannot physically work in the ER for more than the occasional pick-up shift. My body can't take the go-go-go pace.