I've only been to Lyon once but was impressed with the food and all of the things to see. The tapestry and silk factories are very interesting. Nightlife seemed to be great also. You can see a lot in a very short period of time. I only had part of a day and one night there but was impressed and would go back if I had the chance.
Both are fine. Lots of museums, the shopping's good, the food's good - but you can go on tours round Lyon, which are probably available in Dijon, but I didn't see any advertised.