Ultimately, the choice depends on your approach to playing Skyrim. If you bring the star to Azura, she will name you her champion, reward you with Azura's Star, and you will be able to recruit Aranea Ienith as a companion. However, bringing it to Nelacar will reward you with The Black Star, a superior version of Azura's Star. Both options count towards the Oblivion Walker achievement. So, if you don't mind not being Azura's Champion, then Nelacar is the better option.