Performance: ALTER TABLE with default value vs. iterating over all records to set new value
The primary difference you need to be concerned about is whether or not a table lock is acceptable for an extended period of time.  One approach acquires a lock against the table and one acquires locks on rows (if done correctly).

You might also consider, if possible, creating a view against the original table that also includes the new column (and value).  Export the view data using BCP.  Then, drop and recreate the table with the new column and use BCP to import.  You could probably take advantage of being minimally logged.

Many popular databases offer a free version for non-production use. If you want to understand the performance difference your best bet is to run tests on the most common platforms that you expect your clients to use.