You also have to remember that Henry went to Arsenal in '99, developed in a league that was still developing itself, and scored his goals in a competition nowhere near as strong as it is today. While in contrast, Del Piero was at his prime when Serie A was considered the bread and butter of the world's game.
The defenses were certainly less sound in England seven years ago from today. Tactically, the Prem didn't come alive until the glorious foreigners entered the stage a few years after Turd Ferguson won the '99 Treble. Arsenal went unbeaten in 2004, a league that was rather poor by today's standards, and it obviously did not have the investment capacity and strategery[sic] it had only shortly afterwards. So knowing this, you can't say Henry played in a better league against better defenses. And you certainly cannot say Henry's prime years coincided with the years when the Prem was the supposed "best league in the world."
Del Piero's prime, overall consistency, leadership/loyalty, ability to make something out of nothing, and his grace make him the better player to me. Throw in what legends of other clubs have to say about Del Piero, and you'll find -- without argument -- that Alex was better than Henry.