As an allergy sufferer who has tried all 3 of the second generation antihistmines, as well as most of the over the counter first-generation variety, I have to say I think it depends on the person. When I first saw an allergist as a young adult (prior to the existence of the newer allergy medicines), he prescribed a low dose of Benadryl twice daily. I took it regularly and never had any significant degree of sedation. When I take it these days, though, I do, so go figure.
On my second round of being treated by an allergist a decade later, I started trying the different second-generation drugs. Neither Claritin or Zyrtec were particularly helpful to me in relieving/preventing my allergy symptoms. It's not that they didn't work at all; they did, just not that well.
When I started taking Allegra, though, I got the best relief of my life. However, other people swear by Zyrtec or Claritin, so your experience may vary too.
My advice? Talk with your doctor about your particular set of symptoms, and then be willing to go through a trial and error period. Try one medicine for a few months, and if it isn't controlling your symptoms, ask if you can try a different one for a while.
Of course, the best way to prevent allergy symptoms is to avoid your triggers, but that's not always an easy task. Another option is to take allergy shots, which slowly de-sensitize you to your allergens over a period of months or years.
See also:
7 Tips for Dealing with Seasonal Allergies 
10 Things to Know About Food Allergies in the Classroom 
Are You Allergic to These 10 Everyday Items? 
Seasonal vs. Year-Round Allergies 
