There are pros and cons to each, many of which have already been mentioned. Here’s my breakdown:



Kills bacteria, viruses, and bugs
Doesn’t clog
Fast and simple
Works with any wide mouth water bottle
Water must be clear!
Batteries can die
Can malfunction (I’ve seen it happen) or break
Doesn’t address chemicals (non living poisons)
Sawyer Squeeze (not the mini!)
Filters everything down to 0.1 micron 
Instant and simple 
Fits most small mouth bottles
Can clog with heavy use
Can crack if allowed to freeze
Have to carry squeeze bags or compatible bottles
The SteriPen has always felt inherently more risky to me. What do you do if it malfunctions, the batteries die, the water is murky or contains debris? Some of these issues might be addressed with prefiltering and carrying extra batteries, but this requires more planning and weight.
In my opinion, the negative elements of the Sawyer Squeeze are easier to address. If it’s going to get below freezing at night just throw the filter in the bottom of your sleeping bag. If the filter gets bogged down, just back flush it with clean water. (Pro tip: go to a convenience store and buy a Smart Water “Squeeze Bottle.” The small nozzle fits perfectly for back flushing the filter and is lighter than the bulky syringe that Sawyer gives you. A couple flushes and taps on your palm and the filter will be running as good as new.)