Allegra-D is a second generation antihistamine with a decongestant added on (that's what the "d" stands for). Second-generation just means it's one of the more modern antihistamines that have less side effects, especially drowsiness than the old standbys like chlor-tri-meton and Benadryl. Most people who have allergies will get adequate relief from a plain antihistamine, but if nasal stuffiness is a big problem for you, then a decongestant added to the antihistamine can offer another level of relief.
Allegra, Claritin and Zyrtec are all second-generation antihistamines that work very similarly, as is the newer Clarinex. They each come in the D varieties, with the added decongestant. Allegra is only available by prescription, while Claritin and Zyrtec can be bought over the counter. I think you may need a prescription for Claritin-D and Zyrtec-D, though. At the very least, they're probably kept behind the pharmacy counter as very few decongestant medicines are now put out on the shelf, even if they don't require a prescription.
At any rate, I always recommend you discuss medication changes with your physician first. Your pharmacist is another great source of information and advice.