The main point you have to understand is that under Canada Express Entry you will be selected for immigration via a federal immigration program by the federal government. This pathway is best for you if you are confident that you have skills and other factors that fetches you a high CRS score while in the Express Entry pool.
Under PNP, Canadian provinces select suitable candidates from amongst you as you fulfill some labor requirements they have. The criteria for selection for a provincial nomination that leads to Canada immigration are also determined by the respective province/territory.
The provincial pathway, though it stipulates that you settle in a certain province, provides you the advantage that some of the immigration streams accept CRS scores that are low. Also, along with a provincial nomination, 600 extra CRS points are granted which leads to your leading in the line of potential Canada immigration candidates during the next federal immigration draw.
Both PNP and Express Entry are great Canada immigration pathways. But you will be required to stay in the province you selected for 2 years after getting Canada PR.