Well, they are both really good actors. Caine obviously has a lot more experience, and has worked in a lot of different rolls. It seems like anyone should be able to play drunk, high, delusional, carefree, and just outright crazy, but really those are very difficult rolls, and nobody plays those parts better than Depp. The only person I can think of who can do stoned rolls better than Depp (but not drunken or crazy) is Tommy Chong.
Anyway, comparing the style of Depp and Caine is apples and oranges.