I mean, James is no slouch either; they had hits too, but (at least here: in other songs they're slyer) they're sincere and direct and wounded. The US video (linked below) goes in the Wings of Desire direction, giving the song a pleasing second gloss. The Church's entry is more mysterious and sweeping.
Another way to think about it is that this is a matchup pitting the aesthetic of the 80s against that of the 90s. “Under the Milky Way” mixes the bombast of the 80s with an irresistible dash of goth. Its eventual use in Donnie Darko pretty much cemented its place in the 80s canon. “Say Something” is less known, a representative of that moody minimalism the 90s did so well. Both songs feature speakers trying to break through to someone: “Wish I knew what you were looking for,” The Church laments, while James pleads, “Say something, say something, anything / your silence is deafening.” Neither connection evidently lasts—or is in fact made at all.
The question seems to be, in part: Do you prefer an articulation of "loveless fascination" ("Under the Milky Way") to a plea to end an unknowable other's silent opacity?
For more discussion of the songs' merits, you may want to read our previous coverage of "Say Something" and of "Under the Milky Way."
(5) James, "Say Something" (US Version: see previous coverage for link to original/UK video)
(13) The Church, "Under the Milky Way" (official video)
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#marchsadness 2d rd, 90s v 80s: (5) @wearejames vs (13) @thechurchband: https://t.co/S9ZEcQGip6: who you got? why?— Ander Monson (@angermonsoon) March 14, 2016