Dancing the Dream is more about his opinions on different topics: love, looking after the planet, God, creativity etc. Moonwalk is his autobiography though it was written up by a ghost writer. It really depends what you are looking for. If you can get both books. Some people feel Dancing the Dream is more revealing than Moonwalk but both are worth a read. See if you can find them at your library. I actually read them from getting them as library books first.
Hope this helps.