CLIST is supported on TSO; REXX is supported on TSO, VM/CMS, Unix, Sun, AS/400, Amiga, Commodore, etc. If there's any chance this will ever run on a different platform, go for REXX.
CLIST provides integer arithmetic; REXX provides floating point arithmetic. If you need to do anything more complicated than add, subtract, multiply, and divide, go for REXX.
CLIST subroutines are klutzy to implement; REXX is a full-featured block-structured procedural language.
The CLIST I/O model is one record at a time (and handle your own ENDFILEs); REXX uses EXECIO which permits you to load an entire array or queue with one operation.
There is one CLIST Language Reference Manual; the available REXX books and manuals require a pickup truck to move (unless you use the CD).
CLIST parameter-parsing beats REXX hands down. Certain TSO functions (like TEST) cannot be run from REXX.
ISPF table operations, especially TBDISPL, run faster (but not necessarily MUCH faster) in CLIST.
Frank Clarke
Tampa Area REXX Programmers' Alliance
REXX Language Assn Listmaster