F# and OCaml are very similar in syntax, though, obviously, F# is better with .NET.
Which one you learn or use should be dependent on which platform you are aiming for.
In VS2010 F# is going to be included, and since it compiles to .NET bytecode, it can be used on a windows OS that supports the .NET version you used for it. This will give you a large area, but there are limits, currently with F# that OCaml don't have, in that F# appears not to take advantage of all the processors on a machine, but, that is probably due to F# still being developed, and this may be a feature that isn't as important yet.
There are other functional languages, such as Erlang that you could look at, but, basically, if you are strong in one FP language then you should be able to pick up another fairly quickly, so, just pick one that you like and try to develop interesting and challenging applications in it.
Eventually language writers will find a way to get OO languages to work well with multi-cores and FP may fall to the wayside again, but, that doesn't appear to be happening anytime soon.
