They were sad in different ways, I think.
Cordelia had a lot more closure in one sense- "You're Welcome" was pretty much a swansong for her character, and it was a great one. She got to go out on a high note, and the episode was all about what made Cordelia so awesome. I think the way Cordelia was treated on the show before this, however, and the fact that her death wasn't mentioned after the episode... I don't know. It's disappointing. But her character knows she's only there for a finite time from the beginning of the episode, and she goes out on her own terms, so to speak. There's still a lot of "What could have been?" there, especially with the relationship between her and Angel (romantic and platonic), which adds to the sadness.
Fred's death is a lot more shocking, I think. She and Wesley are in the lovey-dovey early days of their relationship. She is an integral part of the team, and she is killed off horribly and painfully. Though Fred, and the audience, know her time is limited, because Angel and Spike are determined to save her, the characters and the audience have hope that this will not happen, right to the end. And then she's gone. Unlike Cordelia, we actually see the aftermath of Fred's death, and we see the whole team mourn for her- sad, but in a way it's more closure than Cordelia got, as we get to see the impact of the team after Fred's loss, and how she impacted those around her. We don't get that with Cordy.
So, they're both great final episodes, and both are very emotional, but in different ways.