Giuliani most likely cheated on his second wife with Judith Nathan, who is now his third wife. His second wife also has publicly speculated that Rudy was cheating with one of his staffers.

McCain cheated on his first wife as well, but this was back in 1970s. He has mended those fences with his first wife and with the public.

So both have cheated, but McCain’s took place 20 years before Giuliani’s. Giuliani’s marriage troubles were a liability in his 2000 Senate campaign (the bid was ultimately derailed by prostate cancer). McCain’s infidelities did not play at all in the 2000 presidential primary.

Fun(ny) facts discovered in these Wiki articles:
-Giuliani’s first marriage, to Regina Peruggi, was annulled after twelve years, according to Giuliani, because he discovered he and his wife were second cousins.

-In 1998, McCain was chastised for reportedly making an off-color joke at a Republican fundraiser about President Clinton’s daughter, Chelsea, saying "Why is Chelsea Clinton so ugly? Because her father is Janet Reno." McCain later apologized to President Clinton and Clinton accepted his apology.

From the Wiki entries on Giuliani and McCain:

Even if Giuliani can overcome his relatively liberal record on social issues such as gun control, gay marriage, and abortion among Republicans during the presidential nomination process, personal issues in his past could also become issues in a campaign. Giuliani’s relationship with Judith Nathan, (who later became Giuliani’s third wife) was well-publicized by local media as it appeared to have begun during his marriage to his second wife. Before his divorce, Giuliani hinted at the relationship by referring to Judith Nathan as his "very good friend." On May 10, 2000 Mr. Giuliani announced at a press conference that he was seeking a separation from his wife, Donna Hanover without first informing her of his decision.

Mr. Giuliani went on to praise Judith Nathan as a "very, very fine woman," and said about his marriage with Donna Hanover, that "over the course of some period of time in many ways, we’ve grown to live independent and separate lives." The mayor’s assertion was contradicted three hours later by his former wife, who said, "I had hoped that we could keep this marriage together. For several years, it was difficult to participate in Rudy’s public life because of his relationship with one staff member." Ms. Hanover was referring to Cristyne Lategano-Nicholas, the mayor’s former communications director. The mayor and Ms. Lategano-Nicholas denied those allegations in the past, and continue to deny them now.

• McCain has acknowledged engaging in extramarital affairs upon returning from Vietnam. While he was in Vietnam, his wife Carol had been severely injured in a car accident. Upon returning home in 1973, McCain found his wife to be very different from when he had married her. He soon began engaging in extramarital affairs and in 1979, he met Cindy Hensley. A year later, McCain sought a divorce from Carol and a month after that, he married Cindy. McCain remains on good terms with Carol, who said in 2000, "I’m crazy about John McCain and I love him to pieces."⁵⁵