Dalyan is closer to the airport - half hour drive.
Olu Deniz is by the sea.
Dalyan is about half hour to the beach by taxi boat or dolmus.
Dalyan is a proper town, where people have lived for a long time and live through out the year.
Olu Deniz was just fields 20 years ago, with a few hippies camping out by the sea.
Both have a good selection of hotels/restaurants/bars.
Both seem to attract more than their fair share of mozzies!
We have been to both more than once, and I think if I had to decide between the two I'd pick Dalyan, purely down to it being a real town and not just a resort.
But I know that other people on this site will pick Olu!!

It depends what your idea of 'nicer' actually is.

Olu is very scenic what with the lagoon and the paragliders coming down off the mountain. Dalyan as a town itself I didn't find particularly nice as in aesthetically pretty if you like, but our hotel was positioned about 10 minutes walk outside of town by the river and in my opinion this was just idyllic. Absolutely beautiful spot. If a beach is important to you then Olu has been built up around the lagoon and pebbly beach area but Dalyan is situated along the river and you have the option of visiting the beach by boat or by dolmus but it isn't on your doorstep to just be in town with the sea on your doorstep.

As the previous poster said you have a very short transfer time to Dalyan, but Olu is also close to Fetiyhe and Hisaronu for a change of scenery. Both areas have the same sort of excursions, absolutely loads of choice from that point of view.