Let's have the voice of wisdom come in and settle things.
The statistics
Fenrir has 7 Attack points and 1 Magic
Ultima has 6 Attack points and 4 Magic
Conclusion: Even though the Fenrir has one measly attack point higher, the Ultima Weapon easily counters it with three extra magic. If you use any sort of magic at all, then this can be very helpful.
The abilities
Fenrir has the ability Negative Combo, which takes away one hit Sora can make in a combo.
Ultima has the ability MP Hastega, which significantly lowers the time it takes for Sora's MP to recharge.
Conclusion: Even though Negative Combo may be useful for some mini games, it becomes a burden when in combat. Ultima, however, has MP Hastega, which makes long waits of getting your MP back a thing of the past. It comes in use for when healing, using limits, and various other magic attacks.
The length
Fenrir has a very long reach.
Ultima has a very long reach.
Conclusion: The basic length of both keyblades is the same. Any thought of Fenrir being longer is a misconception.
The design
Fenrir looks like an actual car key (it is, after all, the name of Cloud's kick@$$ motorcycke), and is very different from all the keyblades. It is very dull and greyish, with very little color at all. There may be many opinions about this, but overall the quality of the keyblade design is flawed deeply.
Ultima is a very colorful and bright keyblade. There are many twists on it and the design of it is superb. There are no flaws whatsoever. It greatly improves from the awful look of the Ultima Weapon in the first Kingdom Hearts game.
Conclusion: Although the Fenrir design is... interesting, the Ultima Weapon is very beautiful and shows the great work the creators of the game put into it.
Conclusion Summary
The Fenrir has an original but flawed design, based off the motorcycle Cloud owns in Final Fantasy VII: Advent Children. It is as long as the Ultima, and while is slightly stronger than the Ultima, lacks the magic to really have effectiveness. The only use of its ability, Negative Comb, is for the mini-games, but the Ultima's ability, MP Hastega, greatly helps in all situations and extremely in battle.
Analysis: Ultima is far more superior to Fenrir in many ways, that the Fenrir cannot even begin to match. Better leave the battling to the pros, mister car key.