What impresses more in a graduate school application for CS: an REU or an honors thesis?
I don't think that there is a definitive answer to the question as asked. It assumes "equal quality", which is unlikely to be easy to measure. Moreover, every reader of an application might favor one over the other, but in a different way from another reader. 

So, I would suggest, treating them of equal "value" on the face. But what will be impressive to a reader is that the applicant has done "something" that required hard work and has high quality. You can achieve this either in developing a thesis or in an REU. 

My advice would be to pick one that interests you and you are likely to work hard at, but also one for which you get some local support. An REU might be slightly favored on the latter idea (support) provided that the research is guided in some way. But even a thesis could be given support if the student meets regularly with a faculty member during development to get some feedback. 

Do something hard. Do it well.