It depends, really. Furret is used as a starter Pokemon so you can get our your Stage 2's really quickly. (Keen eye for Candy + Evolution, etc. etc.)
Claydol is pretty much a staple in every deck. Simply because it helps you draw and keep a balanced hand. (Plus you can recover from Wager and Absol.)
If your running a Stage 2 deck, run both. =D
If it's not a Stage 2 deck, then run Claydol. But instead of a Furret as a starter, you may want to try Pachirisu/Phione. =].