LuLu is intentionally blunt, like a brickwall limiter with minimal user interaction. Little Snitch is more of a network monitor first. It's not "better", but it gives you a lot more configuration options. LuLu is primarily app-level allow/deny. Little Snitch operates at the connection and destination level, so it can do rules per domain. If Little Snitch is configured correctly, there’s usually no reason to touch the hosts file. Little Snitch does the same job with more context.

People may say Little Snitch can be annoying, asking for approval of every little thing, and that is true for a few hours or a couple of days. After it is fully configured it is not bad, even in Alert Mode. That is mostly because you will setup rules to block things in advance of even getting a connection alert.