It depends on what you need. If you want a more portable phone, use get the Xperia Mini Pro. If you want some app-heavy functionality, get the Desire.
The Xperia Mini Pro's resolution is only 240x320. It can do apps like the game, Angry Birds. However, these are limited because other apps (like Asphalt 6) can only run on at least 400x800 resolution. The Desire has 480x800 pixels and can run about any app for Android.