I opted for harpsichord but they can certainly sound good on either, as long as you know how best to approach the pieces on the piano - I've taken harpsichord lessons for several years and over time I've learned that while it's not necessary to try to imitate the sound of a harpsichord on a piano by playing clipped and staccato all the time, no more should you overdo the dynamic variations and pedalling. Everyone knows each instrument requires a different technique just to play it, never mind to approach a particular piece, but then the approach one needs to take to a performance of an individual piece also differs from one instrument to the other, and I tend to prefer the, for lack of a better word, elasticity of a really good harpsichord performance to a rather more measured rendition of the same piece on the piano. Then there's also the fact that dense chords must be rolled on a harpsichord to avoid sounding leaden - I love the effect it creates.
But prometheus does make a good point - not every Baroque piece sounds better on the harpsichord. Some of them really come alive with the dynamic variation offered by the piano, after all.