Throwing is more effective at the moment. The crossbow, if you want to use it effectively, requires you to play like a crossbowman basically, which means being a little off from melee, sniping archers, heroes, horses and other scumbags. While throwing is for getting kills in near-melee range, and it is much more effective due to the rate of fire and crossbow+ damage.
Go for a crossbow if you want to play more like a crossbowman. The upside of crossbows it that they don't require 6 or so skillpoints to use. (on the other hand, it's more worth it to get wpf for crossbows really, with throwing it matters less)