Both of them are good, but convey a slightly different meaning. The first one means: "There's something I want to say to you",
and the second one means: "There's something I want to tell you".

Just like in English, the first one would usually be used when you have some complaint, or remark (positive or negative) to make, (usually about the other person) for example: "There's something I want to say -- you sometimes snore too much".

The second one would usually be used when you have some interesting story or information to give someone - (usually something private about yourself, or someone else you both know) for example: "There's something I want to tell you... remember that girl we met yesterday? So I met with her again today..."

As Klaynamn said above me, there's a difference Although they both roughly translate to "There is something I need to tell you".

"יש לי משהו שאני רוצה להגיד לך"
You use this when you have some short message you want to tell them.

"יש לי משהו שאני רוצה לספר לך"
here you use the word לספר which comes from the origin סיפור (=story), and so, usually you use it when you want to tell someone a short story, or gossip-like-event.

Again, you can use them both, but know that there is a little difference.
for example, if you want to tell someone that you want to break up, you should use "יש לי משהו שאני רוצה להגיד לך",
and when you want to tell someone that you saw his girlfriend yesterday at the mall with Bob hanging out, you should use "יש לי משהו שאני רוצה לספר לך".

Hope it's clear now :)