Zog is a Triceraton, an alien species of triceratops, soldier. Because Triceratons can't breath Earth's air, Zog became delusional and thought the Turtles were high ranking Triceratons and aids them in battle.
Both actors do a good job with Zog, giving a big guy like this a deep and gruff voice.
However I going to give it to David. One advantage he has is that Zog in the '03 series comes off more sympathetic and thus more likable. Also his version of Zog having a hard time breathing comes off a lot more, sounds like the dude is in pain.
Lance's take is good but after Zog can breath again, he comes off rather one note villain and his coughing sounds more like he's sick than having a hard time breathing.