If we're talking about physical safety then worldwide I'd say gay men are more oppressed purely due to the fact that there is still the death penalty for male homosexuality in many countries where female homosexuality is usually punished with 'only' prison time.

If we're comparing people in the 'Western' world then I think that every letter has it's ups and it's downs in a broad sense. I prefer to judge people on an individual basis though - things such as race, religion, mental/physical health, access to resources and, esspecially, money, plays such a huge part in whether person A is more oppressed than person B (for instance, a lesbian from the upper east side probably has an easier and 'less oppressed' life than an impoverished gay, or even straight, man in a trailer park does) so I don't see the point in trying to make broad generalisations and arguing about who has it hardest, hard, easier and easiest.