My personal preference is OCaml. One big point I would give to F# is tooling. Having a real IDE for OCaml would be nice. When I was writing OCaml I used Emacs

My personal preference is OCaml. One big point I would give to F# is tooling. Having a real IDE for OCaml would be nice. When I was writing OCaml I used Emacs with ocamlspotter. The other big F# feature is library support. OCaml has pretty good libraries but F# can leverage the whole .NET framework. This would be noticeable in areas like GUIs. I imagine that not using Microsoft F# would negate the benefits of F# over OCaml. To be honest, go with either. For most people the benefits come from the simple/common/old features. Once you get used to dealing with the compiler, you'll likely fall in love with ML.