I have both.... My Katadyn is an older ceramic filter unit....
When in wilderness I use the Katadyn. I like the fact that I am physically removing the little bits, pieces, junk and bugs. The filter removes all the cysts, worms, bacteria and parasites. It will not remove viruses, but apparently the viruses have a tendency to be stuck to the larger bits and pieces. And viruses aren't generally a bit issue "in the wilderness".
The Steripen I tend to take when traveling in populated areas. The water from the tap looks okay, but its often not something you want to drink in Mexico or the phillipines. Use the tap to fill the Nalgene, zap it with the pen.....
If its truly ugly (water wise), as in a mission trip to Nicaragua, I use both. The filter removes the big turds, the Steripen kills the little cooties the filter doesn't get. Some of these places still have major outbreaks of water-borne disease. Going to India? Take both.....
If I'm hiking the Adirondacks or out west in the Rockies, I feel pretty comfortable with the ceramic filter