There are way more opportunities in WY, maybe 10x. That said, we do both. I had better than even odds in WY this year and didn't draw. We didn't put in for MT, had probably 1/3 odds and didn't want two tags in two different states as my son wouldn't be able to take both seasons off.
We'll have 100% odds in MT barring a brutal winter and then should have 100% in WY the following year.
If you are looking for trophy units, it's a different ball of wax.