Adam,
It is a jolly good question!
However, I don't really see the point of setting both GPS and altimeter to read the same thing. You should use the most appropriate pressure setting for the altimeter. If not because of the usual mode C and vicinity of controlled airspace arguments, but also because then you have two independent references.
To my mind, two independent references would give you a better sense of accuracy than one. Perhaps you could use significant converging/diverging relationship between the two to give you some information about the environment your flying towards or the accuracy of a fix. I reckon it probably adds to the holy grail of SA.
I suppose, if you're of the mind that the pressure setting is out of date and significantly inaccurate and terrain or some such is a threat then maybe consider separation based on lowest of the two until you have resolved the discrepancy to your satisfaction.