I much prefer the Fed / Klingon alliance because theirs was one of principles, as well as their own interests. The Romulans only got involved because of their own vested internal interests. Earth and Qo'noS both really felt that it would be terrible for the Alpha Quadrant to just allow the Dominion free reign. They were against them from the start, while the Romulans were with everybody else (Ferengi, Tholian, Breen, etc.) just looking out for #1.
Not that I blame them. They are Romulans.
I also got a sense that the Feds and Klingons really worked in synchronization much better. As an above poster noted, the Romulans (esp. because of their bigotry towards Klingons) didn't really seem to fit.
In the end though, it's good they did get involved. Not because they helped the war effort, but because leaving them out of it would have left them in too strong a position should the Alliance have prevailed (their original goal).