The 300 winmag is close to the performance of the 300 rum, but if you're a handloader the larger case of the ultramag is a pretty serious benefit, allowing you to load longer, heavier bullets with better b.c. and more at-range energy without compressing the powder in the case. On the other hand, it eats powder (and barrels) and the recoil is substantially nastier (mine has a Vais brake on it, which negates a ton of the recoil but makes it LOUD).
At the reccomendation of a fellow shooter, I tried the Sierra Matchking 220 grain bullets approaching 3100 fps and WOW what a shooter! At 1000yds it's still generating almost 1400 ft.lbs.
The biggest factor against the 300 rum is the availability of the 300 winmag. If you "roll your own" I'd say the ultra is the way to go. If not, the winmag is the obvious choice.