It all depends. If you're a Prime Member then Amazon is better hands down, no exceptions. Amazon provides free return shipping and no restock fee. This only pertains to Amazon and not a 3rd party seller on Amazon.
If you're not Prime then it's pretty much the same. But to get free return shipping with Newegg on faulty/broken products you have to contact them and complain until they provide you with a PP-RMA and then risk the chance of them claiming that the product is functioning properly and either sending it back to you without contacting you first or charging you a restocking fee. And, if they do refund you it takes between 7 - 10 days for you to be credited. With Amazon you just ship it back yourself (you pay) and get a replacement/refund no questions asked and get credited within 48 hrs.
Personally, I have sent back cracked screens, RAM with chips dangling off, DOA GPUs,motherboards and PSUs and had them returned to me with Newegg claiming that they were "functioning properly". Obviously they never even looked at them and never contacted me before returning them to me. After nearly 11 years of shopping with Newegg I have broken ties with them and will never do business with them again. This is just my experience though. Others have had nothing but good experiences with them but they were most likely spending around $1000 or less a year whereas we were in the $25-30K a year range. Personally I stick with Amazon and profesionally we have several accounts with other businesses instead of just Newegg.