Depends on the GRX? GRX is a whole range in itself - there's at least 3 different levels (plus the Di2 options).
I have mechanical grx 820(?) on one bike, fairly old Ultegra (8000 series?) on another. GRX is lush.
Happy with the ultegra on the road bike. For the gravel bike, the Grx lever shape seems nicer when braking off-road.
Thanks Folks, in my rush I should have clarified …. GRX810 vs. R8020.
I have GRX (812) on the gravel bike but I haven't ever used hydro Ultegra - although I have used rim brake Ultegra for years.
I usually find braking hard with brifters on the hoods makes my finger joints feel like I'm contorting my hand in a way that's both slightly uncomfortable and mechanically disadvantageous. It's not painful or anything, it's just a bit unnatural. Which I think is why the GRX levers are said to be optimised for use on the hoods, and in that respect they certainly feel... fine. Better than the rim brake brifters for sure.
The other thing I definitely notice is that the GRX hoods are deeply, err, ribbed. This is loads better for grip in the wet mud but a bit annoying for using on long (road) rides without gloves in the dry. It's a small difference but I'd definitely prefer some smoother grips overall.
Ultimately I reckon it (unsurprisingly) comes down to what you use the bike for. For long trips of mostly road riding, Ultegra. For a sloppy techy off road mud fest, GRX. For anything in between, realistically either will be fine.
For a gravel bike? GRX. Simply for the ergonomics. I just think the hood and lever shapes are so much nicer, for both hoods and drops. Otherwise there's not much in it, but the ergo counts for a lot imo.
I have used both of the levers you mention and agree with others that if it's primarily offorad then GRX ergonomics are slightly better, otherwise ultegra for road.
If you're not sure either way it's pretty marginal though.
For the gravel bike, the Grx lever shape seems nicer when braking off-road.
This 100%, grx lever shape is night and day better than shimano road levers, and Sram for that matter. Great for tops and drops too on rough or soft ground