Both are the same, mechanically.
There are a few changes starting in 2003 however. The 03-06 has the updated interior (dash, cluster, seats, etc) with a few more gadgets and gizmos. Also, starting in 2003 GM changed the AWDs to the Borg Warner 4481 transfer case, which is an open planetary design that relies on the wheel-brake traction control to direct power to the wheels with the most traction. 03 is when they starting using the stabilitrak in it's current form and the wheel brake traction control is part of the algorithms surrounding this system. The 02 and older models used the New Venture 149 transfer case, which is a viscous fluid coupling design and doesn't use/need wheel brake control to shift power across the wheels. It doesn't use individual wheel brake control at all if I remember correctly.
From an on-road perspective, the 03+ wheel brake traction control design is superior. In low traction situations it's like having front and rear locking differentials (it'll never let a wheel just sit there uselessly while the another spins away), but without the torque steer in slippery conditions as it will let some wheel speed differences occur to keep the vehicle from kicking sideways. The individual wheel brake control is the corner stone for roll over protection as well (applies brakes only to the wheels needed to control yaw and roll in a skid, helping to keep you from rolling over).
With that in mind, the 03+ will be safer overall but will have more things to go wrong electrically (gauge cluster, sensors, etc).
I personally would go for a 03-05. 05s already have electric cooling fans too. The 06s had some mixed electrical system with the 07+ so they had a short run, so if you ever needed to get parts from a salvage yard the 03-05 parts in general would be easier to find.