If you just want something simple to watch streaming internet video services, go with the Roku XS.
If you also want to be able to play your video files through USB or over your network from a PC, get the WD TV Live as it is more versatile.
Roku's are good for non-techsavy people, I would buy one for my grandparents for instance. They are easy to setup and you can jump right in and use it...but because it's so simple, there isn't the high level of customization or settings and versatility as there is with the WD TV Live. For me I upgraded from a Roku XS to a WD TV Live Hub (Same as the WD TV Live, but with 1TB internal storage) and put the old player in another room.
Also consider the Roku XD which would save you 20 bucks. The Bluetooth gaming remote sucks through batteries really fast, even if you only use it for playing videos. The standard infrared remote will last you forever without a battery change. There aren't any good games other than Angry Birds and you can play that on other devices. The only other upgrade the XS has over the XD is the Ethernet port. You won't need it as long as you have an N-Band Router.
The Roku also doesn't have an SPDIF output for audio, bad for those of us with older receivers. It does, however, have Amazon Video-on-Demand, which the WDTV doesn't have (as far as I can tell, anyway).
Roku has many more channel options. Download the Plex Media server on your computer. Add Plex Media to your Roku channels and you can watch anything from your computer. Get the Roku app if you have and Android and play most media from your phone.