WU you pick up the cash, so its in your hands! With paypal many scammers pay you, and once u give the the item, will charge back and basically get your item for free with paypal.
The person who receives the money through WU has to pick it up in person but the sender can send online or in person at a branch(faster).
Western Union is more secure when receiving money but as the buyer it takes too long to actually receive what you are purchasing through all of the processing imo. I've only used WU Online as I don't have transportation to get to a branch.