[Anh_Minh]

Spoiler for answer:

They're tougher and hold a better edge. More flexible, too, but that's not relevant here.

Spoiler for future manga event:

At one point, someone used an ax against a small (3m or so) titan. It just couldn't penetrate enough.

Spoiler for canons, I think it was mentioned in ep 5:

Grapeshot, even to the back of the beck, isn't lethal. Do you think arrows would do better?

Shells can kill a giant, but it'd take a miracle for one of them to hit the right spot.