I've been debating the same issue with my own list and still haven't come up with an entirely satisfactory answer. Both the ancient steg & krox have areas where they shine and times when they just give away VPs. A lot depends on what else is in the list and the type of opponent you are likely to face IMHO. Here are some key lessons I have picked up thus far:
Ancient Steg:
1) Strengths - stubborn, terror, T6, 3+ save, 5 wounds, extra shooting, thunderstomp, impact hits and single model mobility.
2) Weaknesses - single model vulnerability, limited benefit from magic boosts, no ranks, cannot occupy buildings, LD 6 outside of bubble, poor 2nd + round combat ability vs units it cannot thunderstomp.
3) Utility - steggie is a fantastic support unit with a block of infantry as most of its vulnerabilities are negated since it can be placed where there is minimal contact during a combo charge. The stubborn also makes it an excellent anvil to pin enemy blocks while moving TG/saurus to a flanking position. The two main problems with steggie is that it is only one cannonball/spell away from death and that it really can't do much in rounds it doesn't charge, especially against units it cannot stomp. Finally, the offensive & defensive potential of steggie doesn't really change much with magic so its upside potential is limited.
Kroxigor
1) Strengths - S7 can openers, a lot of potential attacks boosted by the PF rule, ranks, fear, lots of wounds, LD 7, S5 stomp and able to benefit significantly from almost any augment.
2) Weaknesses - T4/AS 4+ vulnerability to S4+ attacks, low WS, ASL and less mobile than single models.
3) Utility - Against any S3 units, kroxigor rock even without buffing or flanking since their vulnerability to combat is minimized. The combination of 15+ attacks, stomp and ranks means they can break tarpits much more quickly than a steggie and are far less likely to have an "oops" moment where their lose combat to 3 ranks + standard and get run down by clan rats!! Similarly, they excel at going after big monsters with a limited number of attacks since they can win a war of attrition even if they are losing 3-4 wounds/round. As Man0War has indicated, krox will lose big time if they try to play smash-mouth with any enemy elites and even suffer quite a bit when facing a lot of S4 attacks in combat. They can engage such units but only on a flank. Perhaps the best part of kroxigor in my experience has been the improvement in their offence/defence with just about any augment/hex. Wyssans is absolutely amazing but the combo of miasma & hand of glory can yield impressive results when the krox are suddenly hitting on 3s and being hit on 4s or 5s (OK, so the latter part is mostly luck but it has happened once or twice). The key is that there are many augments/hexes with relatively low casting value with big payoffs for krox and at least one is likely to get through in a turn.
In the end, I am beginning to favour krox in groups of 6 (breaks enemy ranks if hit from a flank) vice a single ancient steg but much of that may have to do with having to face a fair number or ironblasters, skull cannons, etc.
Ideally, I would like to have both but at the moment I feel that the krox are better since they are more likely to make it into combat and the ability to give them a big boost with magic really tips the scales in their favour in my list.
