OCaml is a much more powerful language. Take a look at functors, for example, or modules as first-class values, or GADTs, or its object system that can do type inference from use:

  # let foo x = x#frob;;
  val foo : < frob : 'a; .. > -> 'a = <fun>

F# is often called "OCaml for .NET", but it is a misrepresentation. It is an ML-family language for .NET, but aside from that ML core they don't have much in common.

Whether those features are more valuable to you than the ability to tap into .NET libraries depends largely on what you're doing.