they are completely different drugs
zoloft is an antidepressant. it takes weeks to start working and works by changing the way serotonin works in the brain. it slowly makes ocd and depression less severe, and is typically very effective.
lorazepam is a benzodiazepine (CNS depressant). it works by calming the body and making the central nervous system work more slowly. it suppresses anxiety greatly. it is a potentially dangerous option to cure anxiety because it is habit-forming.
zoloft works by solving the root of the problem - the ocd/depression/anxiety.
lorazepam simply eliminates the symptoms of the problem.
most people take lorazepam to ward off panic attacks. sometimes they can be taken routinely for people with severe anxiety, but this often leads to addiction.
i would recommend zoloft in most cases, but if lorazepam works, go for it, but be careful.