both are about 2 female detectives, both take place around a similar time period, the art, the content and the dialogues are very good in both mangas. Both girls love books. Both have a similar male partner (love interest) who helps them.
Main difference, Victorique (Gosick) is younger than Elizabeth (Lady Detective) and is more explosive than Elizabeth.
The characters, Mika and Victorique, have similar personalities (cool, knowledgeable, and somewhat cold). They also both have loyal, dorky companions (Lumiere and Kujo).
Both are fantasy/historical type stories but Majo no Shinzou is more focused on magic and Gosick is filled with legends and solving mysteries. Majo no Shinzou also has more adventure since the main character is constantly traveling without a home to return to. Both stories also have a dark tone to it.
The art in both manga's are very cute and light (lolita style?).