Overal the R33 is larger, and the extra power is most likely due to the rb25de in the r33 coming with the updated vct head.
I think when your considering an NA skyline it really comes down to visual preferance as neither of the cars are overly quick in the scheme of things, so basicly in the end all i can sugest ids go for what suits you best.
I like my R32 GTS25, was a great first car, and why i havent been able to let it go just yet, but eventually you start looking for more grunt.