Which is better for chroma keying, Adobe After Effects or Final Cut Express and why?
I haven't tried chroma keying in Final Cut Express, but I'm pretty sure it depends on your needs and workflow. If you use Premiere for editing movies than AE should be more integrated.
Yet, if you really want to get awesome results and have some spare bucks, I'd say you look at some plugins. After all neither AE nor FCE is specialized in chroma keying. There are plenty of companies out there that build specialized plugins that might give you better results, and they usually offer them for all video solutions (AE, Premiere, FC, etc)
After Effects is well know as a finishing software. The best chroma key plug-in I saw in A.E. was keylight. Very nice full controls, to handle even color/light correction of borders key. I don't know if keylight is avaliable for FCE. Maybe the only benefit inside FCE is rendering time. Real tests can talk a lot more.
My vote goes for After Effects.
While AE has a chromakey plugin in the box, I have good experience with: http://www.redgiantsoftware.com/news/featured/KeyingSuite11/
There are several tutorials on there website, and this gave me the best results. Of course, your footage is the key