In just about every single objective sense, Prince obliterates most musicians. Never mind MJ.
The man has mastered 27 instruments, is so good on guitar that he surprised Steve Vai, has been praised for his bass work by Victor Wooten (Greatest technical bassist ever), and John Blackwell ranks him as one of the most competent drummers he's worked with.
John B actually recalled one instance where he jokingly brought his son's toy keyboard into Paisley Park studios and left the room to go get lunch. When he returned, Prince had written a song on it.
At the George Harrison memorial show (One of them, anyway), he played on stage with Dhani Harrison, Tom Petty, George Lynne and a few others. He did nothing except play an improvised solo during their performance of While My Guitar Gently Weeps. He's the only one that was on that stage that made Dhani smile like the Cheshire Cat. Every single person on that stage stared at him as he pulled off one of the single greatest improvised solos in history.
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There's a video of James Brown getting Michael Jackson on stage, and Jackson does some dancing and sings. He then insists that James Brown get Prince on stage, not the other way around.
Michael Jackson was just an amazing performer and more talented at writing music than others give him credit for...but he's nowhere close to Prince's level objectively.
I liked it not least because I can imagine all the stuck-up fans of The Beatles that were like: "What the Hell does Prince think he's doing there? Haha, he's pretending to play along on the end there.".
Only for him to walk out, do something legitimately legendary and then walk off after throwing his guitar in the air.
I still maintain that if anyone gets the chance to see Prince live, they should.
Most people, even in 2009/2010, still think of Prince as just another Michael Jackson-esque singer. Not many people actually know what he's capable of.