Both are effective disinfectants.
Alcohol is indiscriminate, while H2O2 will be more damaging to bacteria than your own cells at low concentrations (See:
peroxisome for starter info). The bubbing action will also help clean the wound and some cranks claim the oxygenation speeds healing.
Consider that you're comparing a 70-90% alcohol solution to a 3-6% hydrogen peroxide solution. A 3-6% alcohol solution will be, for the most part, indistinguishable from water. A 70-90% peroxide soution will possibly cause your cut or scrape to burst into flame (especially if you'd just put 70-90% alcohol solution on it).
I'd recommend the peroxide as it's less painful and more fun to watch.