In our school, they are both required, perhaps because they have distinct importance and purpose. A comprehensive exam in fact is a prerequisite to thesis writing in our university. The comprehensive examination measures what one learned in the course. Thesis writing is the application of the research methods and the substance of the course.
In my opinion, I think both of them are important, but due to some limitation some departments offer or required one of them, in that case and if it possible, student who intended to continue their study to get Ph, I advice them to get thesis because it prepare them to their future as researcher, other I advice them to take comprehensive exams
In my openion,thesis is much more better than comprehensive exams espicially when we work on local problem. The level of undrestanding in thesis is higher than exams. The most importannt goal of teaching is depth of learning not quantities of some subjects which are not necessory.
I think if students write thesis, then they learn how to write research report correctly. This experience is important if they want to continue to higher education.
For those who want to be professional worker, maybe comprehensive exam is enough and it can save students' time because there is not a report to be submitted.