Whaich one to use?

#1 You will have an easier time integrating PhysX since Havok is an extremely major endeavor down to the modeling level if you want to do it right. But it does it right. Expect to do some significant coding either way, though.

#2 Personal choice depending on coding skill level and desired physics capabilities. Both are similar but also have a few differences.

There does exist a resource for using PhysX in TGE which has been ported to TGEa.