I think it has to be pointed out that a lot of people with severe physical illnesses such as cancer, renal failure etc. also suffer from mental illnesses in particular depression as a result of their physical conditions.
Personally I think it depends on the illnesses you are comparing mild depression is likely to have less effect on someone's life than lets say cystic fibrosis but then again I would rather have well controlled diabetes than resistant schizophrenia. Both can hugely affect someone's life and I don't think you can blanket say one is worse than the other, it depends on the situation.