After all is said, I suppose it depends on the unit doing the exploring. You may be able to move your new allies away from harm, but the original explorer will be stuck at the location of the dungeon. If it's strong enough to withstand the counterattack, then it does not really matter which you choose since the two types of allies are equally matched. However, if you are planning to cut and run, sacrificing the original explorer, then the lizardmen's 2 move could make the difference on flat/jungle terrain whereas the dwarves would move faster across hills.
Nowadays there are so many bad, bad things popping out that I almost always just use a Scout and plan to run for it, figuring to come back later with a force large enough to deal with whatever I have unleashed. If it goes nutso, I can delete it with no regrets. Or if it happens to pick up an object or a useful promotion, I bring it home.