Neither of the two artifacts is must-haves for most characters, but it will mostly depend on your character's build. The Rueful Axe isn't a bad choice if you're looking for a magical battleaxe, but the Masque of Clavicus Vile can help any character get cheaper items. Suppose you are going for the Oblivion Walker achievement/trophy. In that case, you'll also want to avoid taking the Rueful Axe as only the Masque of Clavicus Vile counts towards completion for some reason.