What does it mean if the comparison rate is lower than the interest rate?

Because the comparison rate normally takes into account other fees attached to the loan, the comparison rate is normally higher than the interest rate. Sometimes, if the loan has zero fees, then the comparison rate will be exactly the same as the interest rate. But very occasionally, you'll see a comparison rate that's lower than the interest rate. That could be because of discounts and offers applied to the loan. For example, Unloan offers a 0.01% reduction in its interest rate for each year you hold the loan. That means that over the 25 years the comparison rate is looking at, you'll pay less than the interest rate.

What should I look at, the interest rate or the comparison rate?

Both! It's definitely worth comparing the comparison rate with the attached interest rate. If the difference is very large, you can have a pretty good idea that there are some big fees involved. If the difference is small, you know there are minimal fees. If there's a loan you like the look of though, you should double check the interest rate + fees against your own intended loan value and term.