Although the novels differ in many ways, they also have several things in common. One is obvious, but it is sometimes easy to overlook the obvious. That is, they are both novels, imaginary stories told via a combination of dialogue and exposition. 

Next, their protagonists are both women, and much of the action of the novel concerns the internal thoughts, feelings, and choices of the female protagonists. In both cases, the choices the women have made, and especially the romantic choices, determine the course of their lives. 

Mrs. Dalloway's world is like that of the Linton family, and in her marriage she has made the choice to live a conventional life of a wealthy but ultimately trivial woman. This can be seen as parallel to Catherine's marriage to Linton. Although Peter is not a dark as character as Heathcliff, he represents a different and perhaps more emotionally fulfilling life Mrs. Dalloway could have had, had she made different choices.

Thus in both cases we see women who choose conventional marriages and the negative impacts these choices have both on themselves, as they find their married lives hollow and emotionally unsatisfying, and on the men they did not marry, Peter and Heathcliff, who are also left bitter and unsatisfied with their lives.