Axes have a slightly higher DPS than swords, but it's pretty insignificant. For most purposes, axes to the same damage over time as axes. However, axes inflict higher criticals; both have the same chance to crit, but a crit always does 4 (?) times the maximum damage; far more on an axe because of it's higher range.
Check the guru calculators; I'd double check my view, but Guru is being annoying.
Correction: Swords have a slightly higher average damage; axes however beat this when factoring in the higher criticals. Usually, the skills available to each decide which weapon you want to go.
http://www.guildwarsguru.com/calculators/guru_speed.php