Likely to be irrelevant soon as CME has just bid for NYMEX!
But in the interim... I'd trade the Nymex contracts - more liquid. Having said that I have both quotes up and often trade CBOT if the price is in my favour by a point or so vs. Nymex.
Way to revive a necropolis thread ^ ! It's interesting to see what was happening 3 years ago though... I don't even think twice about CBOT v.s. Nymex any more.