I'd say that with movies like Cop Land, First Blood and Rocky, Stallone has done more complex films that Schwarzenegger.
And in Cop Land Stallone was in very respectable company, something Arnold has never done.
Arnold said in some interview that Sly is much more complex person than he is. Like, Arnold is more of a Happy-go-lucky kind of a guy. Whilst Sly has some kind of european pessimism in him. And I think that it shows in SOME of Slys movies.
Both have done excellent hangover past time as and a few crappy ones too.