It really depends on what music you're in the mood for.
I think you'll find the majority of people in this forum would recommend Cocoon. Sven Vath always delivers the goods, plus that particular night is the opening party so it should be especially good. You've got Vath in the main room and Ricardo Villalobos out headlining the terrace.
But if you like his brand of trance, then Tiesto's night has also gotten good reviews. You might want to consider the venues - if you'll already be visiting Amnesia for other parties and you want to fit in one night at Privilege, or vice-versa, then maybe factor that into your decision.
Tiesto at Privilege last year was the best night I've ever had in 9 years of visiting the island and going to many different nights including Cocoon (which I did enjoy). Having said that I am a massive trance head and while I don't mind a bit of techno, trance is my main thing. I just loved the sheer scale of the Tiesto event which really made the best of Privilege being the biggest club in the world. It would all depend on your musical preference in the end though as they are both really good nights and you won't be disappointed with either