I have used both, but for different purposes. CXF worked great to parse a WSDL and create Java POJOs to interact with, so CXF is pretty good for client-side WSDL services. I’m currently using Jersey for server-side implementation and I am impressed with the simplicity of getting up-and-running with RESTful services using Jersey.
As Jersey is mainly devoted to RESTful services and CXF deals mostly (all?) with SOAP, I think it comes down to whether you want to work with SOAP or REST, and determine the best framework for the job from there. Personally, I am more in the REST camp than SOAP, but my needs are different. Should I be in a situation where the vendor/customer/company I write the service for needs some sort of contract, I might still push for REST (and REST’s equivalent for contract-based services, WADL), but would likely be required to implement a SOAP service, in which case I would look at CXF first and everything else second.
Personally, Jersey is pretty good for a JAX-RS framework, although don’t exclude RESTEasy, by JBoss. I like both, but the documentation for RESTEasy is better.
For CXF, the documentation is OK, but I ran into inconsistencies in how I needed to handle SSL and HTTP Proxies, but it worked itself out eventually. CXF does provide more out of the box regarding these additional features, and I would say RESTEasy would provide the equivalent functionality for RESTful frameworks.