I made another coconut flour cake just yesterday. My impression is that (de-oiled!) almond flour wins in every situation.
But to answer your questions, first a couple of numbers:
Coconut Flour (de-oiled): 18g Protein, 17g Carbs, 16g Fat, 40g fibres
Almond Flour (de-oiled): 37g Protein, 7g Carbs, 12g Fat
As you have noticed, coconut flour sucks up insane amounts of fluid. Mixing coconut flour to fluid 1:3 will still yield a dry dough. By the time you have a runny dough (and juicy cake) the flour so so diluted that the cake won't hold together by itself (you'll need to add eggs then). The only way to get a juicy, reasonable coconut flour cake is to use lots of fat and a couple of eggs.
The de-oiled almond flour does not absorb as much fluid. Also, it sticks together better due to its much higher protein content. Making crumble is totally possible with almond flour (mix butter and almond flour 1:2 and add some Stevia) and tastes delicious.
While almond flour does not behave like grain flour, it is a lot closer than coconut flour
What if I want to make a fluffy bread or cake?
This usually requires yeast, which in turn relies on gluten to unfold its full potential. You could use baking powder instead but with coconut flour you still don't have enough "stickiness" to keep the air in.
Do you have a preference between the flours in terms of: 1) taste 2) consistency 3) price 4) satiation 5) health?
5 x almond flour (de-oiled). The taste is perfect for most kinds of cake, it adds a subtle sweetness. The consistency is great as well, it is a little bit crunchy and has a "real" feel to it. Over here, Almond flour is 20% cheaper. Satiation is almost the same as coconut flour but I find almond flour more satisfying (probably because I don't have to drink a bottle of water with every bite). Health: One might discuss the problem of O6-fatty acids but I don't see a problem as long as you don't eat that stuff every day.
Where to get de-oiled alond flour? Basically this consists of the ground remains from almond oil production ("ground press cakes") so the mill of your choice should be able to supply you.
Buckwheat flour would be an alternative, though rather high in carbs.
Edit: I have made a video about this: http://www.youtube.com/watch?v=P1vBGAE7H6E
I guess few of you speak German so among all my blabla in the video, what is important is that the flours are (from left to right) coconut flour, almond flour, ground almonds, wheat flour. I just add water, mix and then bake it. As you can see, coconut flour works like a sponge and as a result does not stick together very well.