Both CFA and FRM are highly regarded in their own fields and they are quite distinct from each other (as I presume both The CFA Institute and GARP would prefer it to be that way anyway for product/market differentiation purpose) . If you only want to earn one of these designations you would ideally know what sort of career path you are geared towards before you make a decision to study for one of these designations.
CFA is a more general designation - its target audience are financial analysts (corporates), market analysts (macros, public sector, sell-side and buy-side), research analysts and professionals working in other industries involved in financial analysis, credit analysis and risk analysis. In general the CFA is more widely recognised and it covers a more diverse technical skill set, albeit not very deep in terms of scope of study.
FRM is a designation specialized in financial risk management (including credit risk, market risk and liquidity risk) - It is geared towards risk control professionals in financial institutions and central banks. It covers more quantitative analysis than even the CFA while providing a much more specialized area of study within this field. Generally speaking however, it is less diverse in terms of topics covered in relation to the CFA and is suitable for very specific positions in the market (i.e. Treasury, Risk Control, Asset Liability Management, central banks etc).
To put into context within an investment bank, the topics covered in FRM may not be as relevant as those covered in CFA for an analyst working in the corporate finance or private equity field. But the FRM is very relevant to a professional working in the Risk Control, ALM desk and Corporate Treasury departments.
CFA and FRM are not only confined to professionals within financial institutions or central banks. I personally know professionals who are members of the senior management in various corporates who hold BOTH the CFA and FRM designations.
CFA vs FRM
Broad vs. Focused – The key differences is that CFA curriculum covered broad range of topics in Finance. FRM is a specialized exam for gaining expertise in Risk Management.
Job Opportunities – CFA is especially useful for who want to make a career in Investment Banking, Portfolio Management or Financial Research. FRM opens up careers in Risk Management in Banks, Treasury Department
Examination Tips - CFA is slightly easier for students who have an accounting background. CFA curriculum relies heavily on Accounting Fundamentals. FRM examination on the other hand is slightly easier for those who have a quantative background as majority of foundation level topics are math based