Walter White's a better character than Tony Soprano, as are most of the supporting cast.
I take issue with this. When it comes to the protagonists, they are both phenomenal characters in there own way and I feel dirty comparing them. Walter's transformation as a character over the course of the show has been done really well, but Tony Soprano's constant struggle to balance the two 'families' is just as interesting imho. Also, for what it's worth, I think James Gandolfini did a better acting job in his respective role.
Putting that aside, I do think the supporting casts are easier to compare. Breaking Bad's is good, no denying that. Saul is a hilarious character, BUT he's kind of one-dimensional. Walt Junior is kind of useless as a character. Wifey is alright, I suppose, but I can honestly say I've not once been surprised by her. Which really just leaves Hank and Jesse: two very good characters.
The Sopranos supporting cast has more than two very good characters. And the vast majority of the supporting characters are both well developed and multi-faceted. It's subjective, I know, but I would label Chistopher Moltisanti, Tony Blundetto, Dr. Melfi, Adriana, and Junior Soprano all as very good characters on par with Hank and Jesse (with Chris being my favorite of them all). Throw in some Paulie Walnuts, Carmela Soprano, Silvio Dante, Big Pussy, and you have, arguably, the greatest ensemble cast to ever appear on television. I'll admit, the Soprano children are kind of a pain in the ass, but the rest more than make up for that.