Yakuza 4 has RPG elements, a better story, cooler characters and more to do. Only downside is that it only has Japanese dubs and the map is a lot smaller.
Sleeping Dogs has a fun combat system, a fairly large world to fool around in, and better graphics. The story is "meh", the characters aren't cool at all, and doesn't have a good variety of content. Still a good game. I'd go with Yakuza 4 though.
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