Having done both, I would choose the Exumas -- though you can't go wrong with either. I loved the Grenadines, but I ache for the Exumas -- although I will say that the weather last spring was rough. But you know what to expect.
The Grenadines are terrific, and they offer a much more dramatic landscape compared to the Bahamas. Lush green peaks, palm trees, etc. The passages between islands can be longer and more challenging, and the anchorages are a bit more roll-y. There are a handful of Bahama-quality beaches, as well, so you wouldn't be foregoing that. The islanders are more reserved than Bahamians, and I would say that you are a bit safer (crime-wise) in the Bahamas.
