After comparing the two I went with MadExcept. At the time (~5 years ago) there were some difference that were important to me but looking at their websites now it looks like the feature differences no longer exist.
One of the items that swayed me was Stack Tracking methods on the Madshi site. A previous company I worked for had a custom execption object for VB6. I saw some of the pain they went through and my impression is that Madshi is a really smart guy who knows what he is doing.
I did inherit a project that used EureakLog and actually used both for about 2 years. In the end I converted that project to use MadExcept. I was more comfortable with it and preferred the MadExpect bug reports.
I have had very good luck with support on the Madshi forums - some times with the answer from Madshi himself. If you take a look you will see he is very active there.
I have looked at the JCL stuff, but both MadExcept and EureakLog as so cheap, professional, and work well that I didn't even think twice before going with MadExcept.