First of all, let me start off by saying I am not by any means a musical fan. Therefore, this viewpoint may seem a tad bit biased. When comparing the 1938 film Pygmalion, which was directed by Anthony Asquith and Leslie Howard, with the 1964 film, which was directed by George Cukor, I tried to block out the fact that one was a musical. Personally, throughout My Fair Lady, I was waiting for Mary Poppins to bust in with a solo of her own.
After the fact, both films were exceptional. However, among the differences, which were mainly between the two versions of the characters, a distinct difference was obvious between the two Alfred P. Doolittles, Eliza's father. In Pygmalion, as portrayed by Wilfred Lawson, he seemed to be more of a bum than the other characters. Pygmalion really brought out the true Mr. Doolittle. The main thing noticed was the poor man's teeth. Before he ran into his riches, the man had no front teeth. After the money, came the pearls. This seems closer to what Shaw in 1913 had intended about the lower orders in the society. However, in My Fair Lady, Doolittle (Stanley Holloway), who retained his original teeth, seemed no different from any other characters excluding the fact of his filthy clothes and drunkenness. This diminishes what Shaw was trying to say about class distinctions.
All in all, I would have to choose Pygmalion over My Fair Lady mainly because the characters in Pygmalion, most especially Doolittle, seemed more as George Bernard Shaw would want them portrayed. However, once again this is a biased viewpoint simply because of the fact of one being a musical. I have yet to appreciate the harmonious benefits a film such as My Fair Lady might have to offer.