Neither Horde nor Alliance is objectively superior to the other in-game terms. Players choose particular factions for various reasons: appreciating the lore of their favored side, for the racial abilities of a faction member or because their friends have all chosen the same faction.
Faction and race are role-playing choices that affect whom the player can interact with. Alliance players can only interact with other Alliance players, for example. Each race has unique traits that translate into in-game bonuses, such as orcs dealing additional damage when using axes. The most important decision the player makes is selecting a class for his character, such as warrior, mage or hunter.