I developed the module for both the Emotiv EPOC and the Neurosky MindSet. I have some experience with both, and let me say that there really is no comparison. If you want really good data, the EPOC is the only consumer level headset which can provide it for you.
If you're dead-set on the current Neurosky models (to say nothing of their upcoming products) you should first understand that they rely on a dry electrode technology which requires direct contact with the scalp. This means that it doesn't work too well on hair and only kind of works on your forehead. The electrode must press (sometimes uncomfortably so) into your skin to maintain contact. In this regard, the MindSet is a bit more versatile than the MindWave -- I have been successful moving the electrode (only up and down a little bit =\ ) because of the form factor of the electrode (hemi-spherical vs flat plate).
The MindSet is also more comfortable (albeit more difficult) to get "situated" for good signal because of the ear-cup referencing. The MindWave uses this uncomfortable little ear clip to perform the same task which actually references more reliably, but feels weird. The ear cups on the MindSet must be perfectly adjusted such that the electrodes make contact with your ear in just the right way, and if you shake your head too much, the electrodes tend to become unseated which then ruins your signal.
The MindWave feels cheap -- It's injection molded plastic feels a bit brittle in my opinion, although I will say that both of these devices feel more durable than the Emotiv EPOC. I simply can't understand where they get off charging $100 for the MindWave, however. I would pay maximum of $50 for this device. I understand a bit of the price with the MindSet; it also works as a bluetooth headset and wireless headphones (with a pretty decent frequency response, I might add).
In conclusion, if a single channel of noisy "EEG" from the forehead (one of the thicker parts of the skull) is what you're after, then I'd go for the MindSet over the MindWave. But honestly, if you're planning on trying the P300 or Mu Rhythm BCI's, you should know that the electrode isn't going to reach the proper location for anywhere near decent performance using either of the devices. You might have some luck with single channel ICA(http://www.sciencedirect.com/science/article/pii/S0165168407000151
), but IMHO, the NeuroSky devices which are currently on the market exist mostly to record EMG from the forehead.