I haven't myself, but I was chatting with some locals while I was there and they were recommending the Sky Lagoon? They liked the oceanside setting better.
I wouldn't stress too much I liked both. Blue Lagoon in unique given the milky appearance of the water from the silica - but it is very much a tourist experience and changing rooms can be a bit busy. Once you are in the lagoon you can find quiet areas. Personally if you are tired, I wouldn't want to go to the blue lagoon and then afterwards have to drive into Reyjkavik.
The Sky lagoon is a clear water pool right by the ocean and the architecture of the building is very icelandic in design - turf houses etc. I personally preferred this - there is a ritual experience including saunas with ocean view and cool mist. You could go to your hotel, drop off your bags - it is about 10-15 mins drive from the city.
We did the Blue Lagoon after we arrived (0640 arrival), got to BL about 945 after duty free shipping and getting our rental car. We enjoyed it right after the flight and was refreshing and invigorating with the cooler air. After BL we went to the volcano around the corner and did a small hike to the lava field and from there drive to Reykjavik and checked in our hotel and then went walking around the Reykjavik sights. Was a perfect way to spend the first day while a bit tired but still able to check things off our list. The BL was pretty and not very crowded at all!!!
We did both and they are different experiences. If I could do only one, I would probably choose the Blue Lagoon because it's the iconic Iceland tourist experience. It is much bigger than Sky Lagoon and less upscale. Sky Lagoon is very small and can be crowded in the pool (it was when we were there) but the changing facilities were nicer. Blue Lagoon has a mask experience where you put a series of 3 (free) masks on your face. Sky Lagoon has the Ritual where you go into a turf house and sit in a sauna, steam room, get a scrub, etc. (also free).