In many areas alfalfa is unavailable or cost prohibitive - the pelleted/cubed form can be found pretty much anywhere (even if the local feed store doesn't carry it, they can order it in). Many people choose to use pellets/cubes as a supplement to grass hay and find the processed form to be more convenient.
For me, it's a combination. Alfalfa is available here, but is somewhat pricey. I am lucky enough to have a source for a nice blend that is mostly grass but has a good bit of alfalfa in it. Rather than having two separate bales of hay to feed out of every feeding, I opt to supplement the grass/mix hay with alfalfa pellets which are cheaper than purchasing the bales outright.