Both the bikes you are considering are some of the best machines in their class. So you're already starting from a very good point; therefore, here on out, it will depend on which bike fits you better as per your physique and has the features and look you prefer more.

The Honda CB125 Hornet has some unique features like the golden USD fork, a crisp TFT display and excellent fuel economy. However, it can feel a little tight for larger riders, so depending on your height, it may not be the best option for you. 

The Hero Xtreme 125R is the only bike in the class to offer you dual-channel ABS on select variants. Also, it is a little more affordable than the Honda bike, so if those things matter to you, then this makes for a better purchase. 

A test ride of both will help you decide which is better for you. 

The Honda CB125 Hornet makes a good case for itself as your first bike with its lightweight, frugal engine and flashy style. You should also take a look at the Hero Xtreme 125R and TVS Raider because there are some areas where these bikes have an upper hand on the Honda. 

Bigger bikes like the Bajaj Pulsar NS160 and Yamaha MT-15 will offer you more performance, albeit at the cost of fuel efficiency. They will also be a little heavier, but it won't be a big difference. 

A test ride and a clear expectation of what you want from the bike will help you decide which bike is best for you.