To me Damon's role was harder,playing tortured is an actors dream but Damon had to be both charming,likeable and ruthless without taking the audience out of the movie.
Ive never seen Damon bring such charisma as he did in The Departed,at times you wanted to like him but he would counter that when the real snake came out in him as things spiralled out of control and he played the parts where Costello talked down to him (a man used to being top dog)and he had to shrink into his shell and suck up were played masterfully
For me, though, I could never find Sullivan remotely likeable. No matter what he did. As soon as I realized who he was as a character, and who he was working for, nothing he could say or do would help cloud the fact that this guy was a straight up bastard commiting about as devious a crime as one can possibly commit. Sure he gave off charisma, but for the most part it was merely a bull*****er in a near constant state of bull****.
And you say he was tortured, but I really didn't see that expressed all that clearly.
I thought Damon played the role well enough, but realize this: DiCaprio's Costigan character was deep in the pits of hell and literally fearing for his life at every turn (exemplified in the scene with Dignam and Queenan at the bridge and in his first encounter with Madeline at the office). This is a guy whose life was completely non-existant; his whole identity was a portrayal. A guy who at times had to appear cool, though in reality he was completely trepidatious. One of the few instances where we see an undercover cop who really is on the verge of losing it.
And DiCaprio, quite simply, knocked it out of the park. His journey is what emotionally carries the audience through the film, and you're completely sold into it the whole way through, thus making his shockingly sudden death incredibly tragic.
Again, I'm not knocking Damon's performance. It was great. But, in my honest opinion, Leo's character and his portrayal of the character were significantly more resonant, and in short, stronger.