They should not have sided with the Nazis, but not because the Nazis were "worse" than the Soviets. The Germans attacked the Western democracies first, so they had to respond, just as the Finns had to respond to Soviet aggression first.
Ideally, I would like if we had supported whichever side was losing on the Eastern Front, switching our loyalties whenever the balance of power changed. Then, after both the Soviet and Nazi regimes had been sufficiently weakened, the West could have rolled through both Berlin and Moscow.
We might have spared the world a huge amount of suffering if we had allowed Hitler to expend himself eliminating Stalin, then taken Hitler out afterword.
Or alternately, as Patton wanted, conquered Russia after we were done with Germany and still had the monopoly on the A-bomb.
When you have two mad dogs at each other's throats, it's not a question of which one you want to win. The correct answer is "neither".