I watched Moulin Rouge last time I was in Paris. I was planning to take the family to Moulin Rouge. But my friend insisted that I should watch Crazy Horse. If I had to compare Crazy Horse and Moulin Rouge, I would say Moulin Rouge was better.
Personally I like to see show stage outfits with feathers. Like the kind of shows you would watch in a casino. Show stage outfits and all the bling. With Crazy Horse the dancers were naked with towards the end of the dance so they didn’t wear much. So if you like to see the body up close then I would recommend Crazy Horse. But if you want to see a show with lots of costume and bling then Moulin Rouge.