1) The role of the supernatural is profound in Hamlet, while absent in R & J. Hamlet's Ghost gives impetus to Hamlet. His presence looms over the entire play. It wants revenge, which Hamlet is either unwilling or tactically unable to carry out. There is no such otherworldly presence in Romeo & Juliet.
2) There is metadrama in Hamlet; none in R & J. The "Mousetrap," the play-within-the-play is very important to implicating Claudius in his brother's murder. It shows that art can bring about catharsis. Romeo & Juliet has no such equivalent.
3) Denmark is a police state, at war with another nation; Verona, while its families wage war against each other, is not threatened by outside forces. Verona's problems seem tame by comparison to Denmark's threats. The global affairs in Hamlet resonate with us today in our wars and diplomacy.
4) The language of Hamlet is far superior to R & J's. Shakespeare's verse is much more mature, much more developed in Hamlet. It is much more introspective, less preoccupied with cute oxymorons and dualities of love vs. hate. Hamlet is a meditation on death, whereas R & J deals with puppy love.
5) Hamlet, as a character, is the pivotal character in literature. There was none like him before. He is psychologically complex, nothing like the stock characters of R&J. He was Freudian before Freud. He defined himself not by God or country or parents or social mores. He is a self-propelled, intricately conflicted character.