It really depends on what you are trying to do. The .338 was designed to fill the space between 7.62 NATO systems and .50 BMG systems. The purpose of the Barret/McMillian and other .50 BMG SASR's is to damage and disable sensitive equipment and great distance. For example, an SAS team with a Barret or AW .50 BMG rifle could damage/destroy a fueling TBM like a SCUD while it is being fueled. It could also severely damage or destroy highly technical and vulnerable communications and SAM radar and tracking gear. While it has been used against enemy personell, this is technically a violation of the laws of ground warfare. Clearly, the .50 BMG is a very lethal round.
While they offer an essentially unmatched capability, atleast until man-portible 20mm systems come online, they have several problems. Accuracy and hard-target penetration leaves much to be desired. .50 BMG ball ammo or projectiles from the 40's aren't going to set accuracy records. There have also been many reports of the .50 BMG failing to stop vehicles and disable other non-animant targets when using standard ball ammo. API or AP rounds solve both of these problems to an extent, however these rounds will be non existant in many civilian shooter's magazines. Weight is also a serious concern with .50 BMG systems. They are getting lighter and lighter, but they are still similar in weight to a GPMG.
So, if you aren't trying to disable a PAC-3 missile site from 1,000 yards, .338 is probably a better choice. For a man portible, anti-personel system .338 is very effective. It has great range and lethality, yet the rifles are generally easier to handle/carry. This caliber was purpose built by the USN, amongs others. They just happen to be at the cutting edge of small arms development.
My choice for the civilian sector or for anti-personel work would be the .338 Lapua Magnum.