I think shea butter has more medicinal properties than cocoa butter. I've read that it can be used for cuts, scars, scalp problems, athlete's feet and so many more things. It's good for moisturizing too, but I've seen more lotions with cocoa butter than with shea butter.
Cocoa butter does have some medicinal benefits as well. There was an article some months ago where it talked about a study showing that cocoa butter is good for blood circulation. But I've usually heard cocoa butter recommended and used for its moisturizing effects. Especially if your skin is really sensitive and becomes dry very quickly. It's in a lot of lip products for chapped lips too.