While I think they're both great films, I prefer Sacred Star of Milos for being smoother, having a plot that makes just a little more sense, and for being relevant to the contemporary politics of global poverty and imperialism. The movies: Sacred Star of Milos is more of a Brotherhood-universe movie, whereas Conqueror of Shamballa was made during the time of the original 2003 series.

But the homunculi in Brotherhood were still very cool. I kind of liked the 2003 anime version a bit more, since they had to essentially fight the monsters they created, not someone else's creation. In Brotherhood, all of the homunculi were created as offshoots of the original 'Dwarf in the Flask' homunculus, who gained god-like powers after destroying an entire civilization. Therefore, each homunculus resembles a human being who someone had attempted to bring back using forbidden alchemy. In the original 2003 anime, a homunculus is automatically created as an automatic effect of any attempt to perform human transmutation. Some of the homunculi have different identities in the two shows, and in both shows, the backstory of the homunculi and how one homunculus gets created was a bit different.The animation quality is better in Brotherhood, and the characters are more serious and less cartoony.The world in Brotherhood is bigger, encompassing the brothers' country of origin (Amestris), but taking into account the politics and international policies of neighboring countries, and including characters from outside of Amestris.I didn't watch the ending of the Fullmetal Alchemist series, but some differences I did notice when I switched over from watching Fullmetal Alchemist to watching Brotherhood the following differences:

Fullmetal alchemist brotherhood