Other then being skirmish games they really don't have a lot in common. In frost grave you control a human warband through linked games. It's kinda like Mordheim lite.
Otherworldly fantasy skirmish uses the crooked dice mechanics to pretty much play out a old school d&d battle.
If you want to play a campaign based game frostgrave is a better choice. But if you want to fight it out with all the classic d&d monsters and character classes go with OWS.
Personally I plan on playing a lot of both